There is a reason, but I'll let Kevin explain it in detail. Basically, it's because using Mac's built-in file browser tends to expose a lot of Qt stupidity (they are Qt's file dialogs and not Sigil's, for what its worth). There is no preference to change it.
A few comments about it can be found at the end of the commit-list, here:
https://github.com/Sigil-Ebook/Sigil...6a2838e26b4704
Perhaps we'll be able to revisit macOS native dialogs with Qt6, but Kevin's the Sigil-on-macOS expert, so I'll leave that up to him.