No, this is definitely a bug. The Privacy and Security panel is part of Settings, which is definitely part of the OS. Saying the Open and Save panel somehow has priority suggests that the Privacy and Security panel is not looking at the same parameters as the Open and Save panel, ergo a bug.

It’s not a bug and that is clear if you don’t use the documents folder as your example. When granting specific access it is not the same system as when granting general Documents folder access.

The UI just doesn’t reflect this.