Well you actually can push the preview window to the background (last I checked) but I don't recall it also then letting you perform other activities in FCP whilst its still capturing ... still, for what its worth, shift tab or click to move focus to the Finder (so that FCP is not the foreground app) then mouse click on the FCP window that you do want foremost. IIRC doing so should bring FCP back into focus with the selected window to the fore ...
As to "I don't understand why FCP ..." neither do any of us :-(
Still, comfort yourself in the knowledge that capturing from tape is a dying function and that tapeless workflows that will present all new and even more annoying issues are the future.