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
They aren't presenting the user with a visible option because they're trying to funnel you into their web store. Evidenced by the fact that OP didn't know that you could click elsewhere, and being a trillion dollar software company you cannot convince me that was just an oversight.
Anecdotally, when the program that spawned the popup crashes behind it I can't close it.