It's completely inconsistent with traditional Windows design language and there's no "Cancel" button or an X in the corner to click on so you can't cancel out of it with your mouse and have to reach for Esc on your keyboard
It also tries to funnel you into a shitty Microsoft service
I think if you click outside of that pop-up it disappears completely, which as you say is totally inconsistent with everything else in Windows, but it is at least possible to get away from it with the mouse.
It doesn't for me. I just have to alt-tab around it until my next reboot if I'm stuck using windows.