Because the first time it happened, I didn’t know that you would lose the caught ark if you escape, and second because after clicking escape so many times, you brain is used to clicking escape straight away…
I would only support this if the message is only displayed when you have captured an ark as I would hate to have to deal with that extra box when trying to farm rares. I know if you try to escape not using the skill, but is if the flee command it already tells you about the lost ark, but it is not a 100% chance to work! and it has an extea dialog box to deal with making it just as easy to finish the fight I feel.