This is another of those "safety valve" things for a user who wants to end the effect but can't figure out how. Also if you've launched the effect by accident, being able to end without clicking a window is nice because then it won't switch to a new one.
This already happens, see: https://invent.kde.org/plasma/kwin/-/blob/master/src/effects/overview/qml/WindowHeap.qml#L167
I am on Wayland right now and I observe that you're right. However I could have sworn that this didn't work on X11...
Huh, now it works for me on X11 too. Maybe I was smoking crack when I opened this bug report.