The new? option to open the contact url as overlay doesn't work, because xenforo overlays AFAIK doesn't support external urls.
And this option would make IMO only sense for external urls, or?
It's not unfeasible for an external URL to be used. Your contact form could hosted on another XenForo site - or an entirely custom externally hosted one. As long as the output HTML is the right format to satisfy the overlay requirements it will load correctly.
Simplest example is, set your contact form to http://xenforo.com/contact and choose the overlay option...
It actually doesn't work due to cross-domain AJAX security -- but that's just a configuration issue. But there's definitely reasons why you might use an external URL for a contact form.