I suppose technically this behaviour is a bug.
However, it is hardly worth bothering with, since it only appears when a developer abuses the IDE.
Lazarus, in the nature of things, closely manages all .lpr, .pas, .pp, .lfm, .inc files and the like in the current project. This is required for the tight integration between the Designer, Object Inspector and Editor.
It is not unreasonable for the IDE to assume that when you want a new file you will use File->New unit or File->New form (or File->New...) so that the IDE itself initiates creation of the new file, and is not just presented with an operating system novelty that you have forced into existence by some back door approach.