It does so because that's how Dired works with an arbitrary file listing (files from anywhere). And because having that directory line makes various parts of Dired work (marking etc.).
A Dired listing of arbitrary files (which is what this is), as opposed to a Dired listing that corresponds to
ls output, has, unfortunately, a certain number of limitations with respect to Dired functionality. Still, it offers much of the functionality you would expect. And perhaps over time it will be improved to offer more.
Such a listing (arbitrary files) has always been Dired's poor cousin. It's hardly mentioned anywhere, in fact. Dired+, at least, tries to make use of it in various ways, to give you more possibilities.
Summary: Ignore that "directory" line, but know that it needs to be there.