This is a bug which affects only those of us who don’t use Cubase on their primary screen (I use a three screen setup and use Cubase on the right most, which is screen #3).
Most dialog windows open on the primary screen, not on the screen Cubase is running on… which is quite annoying, given the size and geometry of my setup.
I don’t think that this is intentional, so I guess it is really a bug.