To be able to easily close the popup dialogue, especially if testing multiple themes back-to-back.
You either have to click "Learn about this theme" which redirects your current page to the theme info, even if you don't want your page redirected.
Or open the customizer in a new window, even if you don't want it to or need to customize anything.
Chrome OS Version 76.0.3809.102 (Official Build) (64-bit)

This is extremely frustrating especially if you're trying to change themes in one tab, and then refresh/review the new theme style on the site in another.
You either get tabs you don't want opening, or you have to click back every time you change a theme.
Both create unnecessary work and being locked into a popup is generally frustrating, like when a popup ad won't let you dismiss it.
I agree, I have run into this a few times and it is frustrating.
+1 on this. Came here to open an issue if it didn't exist.
+1 on this. This is very inconvenient as you need to go either of those pages to get out.
+1 This is annoying af. I'm pretty sure it was not always like this, clicking outside or hitting ESC used to close it. This should always be the case for a popup dialogue!
+1 This is really irritating when frequently changing themes for testing purpose.
I just made a fix for this here: https://github.com/Automattic/wp-calypso/pull/36584! It looks like there was "just" a small typo: it tried to call _close instead of close.
If anyone wants to test and give a 👍 feel free!
@noahtallen Thank you for fixing this issue! 🎉
Most helpful comment
I just made a fix for this here: https://github.com/Automattic/wp-calypso/pull/36584! It looks like there was "just" a small typo: it tried to call
_closeinstead ofclose.