There's plenty of examples of software doing this right and displaying each language in the selector in that language, it's hard to say why they've localised it here. Most likely they just didn't consider how the user interacts with that element and localised it the same way they translate everything else, but that could be down to anyone from the developer habitually running everything through localisation to company policy where they couldn't get an exception for that element.
You'd have to ask support for whatever software you're using for more detail, chances are you won't get anything useful back but if you're lucky they might fix it.