This is the setting of the window manager/compositor you have to turn it off, it’s nothing Krita can do about.
In KDE it’s called Dialog Parent in Desktop Effects.
As for the dialog box, you should be able to just drag it away, just like any other window. It’s not a Panel or Docker, it will pop up just like every other dialog, that’s just how it is, I’m afraid. I don’t know why it behaves so strange for you, it works as expected on my KDE and at work on my Windows machine.