It's the way CO structures their folders. When you export a jpg or tif the file will go into that folder, though you can specify a different location.
I asked this same question in the comments of
this article and apparently what I'm wanting to do is not possible. Even if you set CO to Full Sync the sidecar XMP it won't update the metadata in a way that PM recognizes it, though it does work with CR3 files surprisingly enough. Considering CO is a great image editor and PM is a great browser (and PM+ seems to be a great cataloger), this is really unfortunate and makes cataloging all the more difficult.