This is one of those things that's tied to how the file system works. It's worked that way for decades, so it's extremely unlikely Microsoft would risk breaking something by changing the behavior.
When a copy is made to a new volume, those are newly created folders and files on that volume, so, from a forensics point of view, the "Date created" tells us those folders and files were just created on that volume. If those dates were "preserved" from the source, we would actually lose some forensic data. Note that "Date created" represents when a file is first copied to (or first saved to) a given volume, not when the content was first created.
The folder's "Date modified" property also changes to the current date and time because that date always reflects if anything at all changed within the folder. In this case, that change would be the values for "Date created" of all the items within the folder. So, yes, it's not entirely intuitive, but it is what it is.
However, you can use other tools, such as TeraCopy that will "preserve" all of the dates. The created dates (and modified dates for folders) are initially set to the current date and time of the copy by the file system, but the tool then immediately reads the old dates and resets them on the target to match the source.