That would make sense if I wanted a leader but the placement of a leaderless frame always defaults to Left-Middle. This is most unhelpful when attempting to place the frame on the left side of the part.
Check "Show", Uncheck "Smart Anchor", Select Position of choice, uncheck "Show". It should now display your position selection. Seems like that only controls where the leader, if shown, connects to the control frame. Looks like the control frame will still connect to the cursor at the Left-Middle. If you think this is a bug turn in a ticket to support.