This is most likely due to the upgrade to Godot 4 and the way it handles windows. We'll see if there is an option to make it behave like it does in the previous versions. Thanks for letting us know!
Also, I tested it with other pop-up boxes, and they all behave the same as well. "Save as...", "Export as...", etc. In the v1.0-beta2 version, all the pop-up boxes behave this way.
I hope there can be a viable fix for this in Godot 4.