I agree that it might seem strange and unintuitive to manage a self-hosted site's menus from WordPress.com's central management interface. But only if you look at this feature in isolation.

When you consider that they're gradually adding more and more functionality that can be managed centrally, this is just another step toward whole-site management for self-hosted sites from WordPress.com's interface.

Perhaps there could have been a more intuitive next step instead, but perhaps not. I doubt it was done without any thought :)