It's better to have it this way. Nothing in Max can stay properly dockable. Look at CMPP by Siger and MaxBridge from Quixel. Doesn't remember where you opened it, can't be docked etc...
My (programmer) brother asked years ago on AREA how to make properly behaving dockable plugin inside 3dsMax and didn't receive any usable answer.
Connecter doesn't suffer from being outside of Max, it's constantly full-screen on my left monitor. And you can keep using it should you switch to other software (like Unreal,etc..).