LR allows you to set file type settings for Photoshop and one other external editor in the Preferences. These appear above the line when you right-click and choose Edit In... and if you choose one of those editors you get no dialogue box.
Everything else requires that dialogue but only so it knows what file type and resolution settings you want for the newly created file. This is because you cannot "edit" a RAW file, so whenever LR sends a file to another application it needs to convert it to a PSD, TIFF, JPEG or something else which is why it always sends a copy with the adjustments from LR.
This is different from the dialogue you get when you choose Edit In... with a non-RAW file. That dialogue does not contain file specifications but just gives you a choice of sending the Original, a Copy or a Copy With LR Adjustments.