You are correct. I am able to reproduce this behaviour.
You can file bugs on https://feedback.azure.com/d365community/forum/04fe6ee0-3b25-ec11-b6e6-000d3a4f0da0.
However, I am not sure that this will pass the triage bar. First of all, cursor parameters are very rarely used. Overall cursors is something you should use sparingly. Do you have any actual use case, or are you just playing around?
Next, I am not sure that it is meaningful to use the Execute Stored Procedure to run a procedure that takes an output parameter, and even more so a CURSOR parameter. That dialog is not able to do anything with the cursor. Normally, you would run such a procedure from a query window.