My guess is that it's deliberate - that Siri window hovers over all apps so that you remain in your current context, and can add files/images/texts from any app to the Siri conversation. There might also be a Siri app on the Mac that was not yet shown.

You're probably right, just add it to the collection of "not-quite-window floating thingies", accompanied by Quick Notes, Stickies, Special Character Picker, Color Picker, Font Picker…

Sigh, I wish we could stop re-inventing what was already solved 25 years ago.