There is a good reason for this feature, but for most it seems to be bug. Which is it, depends on your preference.
Here is the scenario. A chart is on a slide:
With the chart selected, you decide to add a callout box to highlight the import data point in the cart.
The new shape is inserted, but within the chart boundaries. Note: The chart is still selected while the shape is selected.
The new callout shape can be edited and moved – but it can only move within the chart boundaries.
The newly inserted shape has become part of the chart. If the chart is moved, the shape moves. If the chart is deleted, the shape is deleted. But the shape does not interact with the chart, the chart styling options do not change the new shape, and the chart animations do not animate the new shape. For some, this is a feature (ability to tie new shapes to a chart). For others, it is a bug (they did not want the shape tied to the chart).
If you want the shape outside of the chart, the easiest fix is to select the shape (select the chart, then select the shape in the chart) >> copy >> delete >> unselect the chart >> paste.
Now the slide has a chart and a separate shape.
– Troy @ TLC