For this issue, that's the expected behavior - the dialogs are a separate page, in iframes as noted. That is what the loading screen will show (hence why it's grey here).
They are iframes as we're using TinyMCE for that. Though additionally, iframes work well when dealing with focus/selection management. It's quite important to maintain the editor's selection or caret position. Blurring to another part of the document can mess that up.