Because these file pickers are implemented by two different GUI toolkits that have a different idea of how file picking should be done. This isn't anything new, Xaw programs used their own (handmade) file dialogs, Motif had its own, Java/Awt had its own, Java/Swing had its own, etc. Unless you want to force everyone use a single toolkit (which is unrealistic for several reasons) you cannot get the same behavior everywhere.

Note that this isn't specific to Linux, in Windows and probably macOS you get the same unless you stick to applications using only the native APIs and avoid any cross platform application that use Gtk, Qt, Swing or any other toolkit that cannot tie itself to a single native widget library (and TBH even with some applications that do tie themselves to Win32, they sometimes end up implementing their own file pickers anyway).

And of course file pickers tend to be the most shared of GUI elements, when it comes to the actual UIs themselves even in Windows you get a ton of different toolkits, styles, behavior, etc that totally ignore the native look and feel (assuming there is one since Win32, WinForms, WPF and UWP all behave from slightly to totally different from each other, depending which ones you compare).

> In this case, it seems pretty clear that Wayland is the winner and we're just waiting for everything else to catch up.

Wayland is very restrictive for many uses and actually lacks several useful features compared to X11 - some it pushes towards the applications in the stack (so instead of a single solution that is shared among -say- 1000 clients you get 1000 solutions), while other stuff are simply impossible (unless you are XWayland which gets special status, leading to the ironic situation that even under Wayland the X APIs provide you with more functionality :-P).