It seems the CF Express cards are treated as SSDs since they have such fast speeds. Unfortunately I haven't found much information about this online, but did come across this Microsoft forum post where a contributor confirmed the behavior of the CF Express cards:
from:
https://learn.microsoft.com/en-us/answers/questions/3994391/cf-express-cards-are-recognized-as-a-hard-drive-in
This is the format of CF express cards. It will only be recognized as a hard drive even if you plug it in MAC or any other Operating system. This is the common behaviour of how this card works. Because of their speed and capacity, operating systems often classify them as hard drives rather than removable media.
FYI, from just reading a few online posts, it seems when the CF Express cards were first released people were unable to eject them due to how Windows/macOS treated these cards making them appear as internal SSDs, but this aspect seems to have been sorted out. I think that is why this MS contributor used the term "removable media" here when in fact it would probably have been better to say "USB sticks" or "traditional CF cards".
We may also be seeing the merging of SSD technology with these CF Express cards so things can become confusing. I haven't kept up on CF card technology as much as I should have.
It also means LightRoom and other third party apps should make sure they do a better job at recognizing the drives being used and/or offer the user a way to customize their setup so a user is given a choice to import, or import & copy the data. Seems like a huge oversight of LightRoom developers since they should be on top of the technology involved with their app. I highly recommend you provide the LightRoom developers feedback on the issue, even if they are already aware of the issue. Without complaints/constructive criticism, they may think it is not worth the time & money to deal with making any changes.
It is always nice when I learn something new.