Steps to reproduce:
File download location
Ask for each download
An overlay should be shown, as what Google Chrome and Safari do.
Orion and macOS:
Device: 2020 13" M1 MacBook Pro
OS: macOS Monterey 12.1
Orion: Version 0.99.109.1-beta (WebKit 613.1.12)
eirk Orion and Safari seems to have same bahvior in your screenshot?
The correct overlay is used when you do right click -> Take Screenshot.
right click -> Take Screenshot
Safari shows it as an overlay, as part of the window, as you can see with the grey shadow. Orion doesn't have this shadow, and you can even see the traffic lights on the top left corner, showing that it is a separate window.