It doesn't happen when I use this feature. Because I am already logged in and using both products (jira and confluence). It seems you haven't started using confluence thus it's the first time you are logging in or creating some content.
My suggestion to you is to create a sample page in your personal space in confluence and then when you try to click to link a sprint with a confluence page then you would see what I see i.e. a create page dialog with option of selecting space and page template.
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