Yeah, but its the way the MacBook writes image files if I understand correctly. I may have terminology switched up or incorrect, so dont take it word for word, but basically when you download that file, or if you unzip the file, apple basically stores it in a format that not compatable with OS, so when you go to create boot media, its flashing the SD card you are loading with that downloaded version, instead of the original format. The image file cant be read anymore at that point, even though everything still looks the same from your end.
Like I said though, this is just my understanding of this so in no way is it technically correct, I just know I had the same issue whem trying to create boot media using a m2 chip Mac. You used to be able to do it before the M2 i belive, so most likely their instruction for the device is just outdated. I would bet if you tried doing the same exact thing but using a old MacBook, or Windows PC, it will work without issues. But make sure if you do it, to re-download the file again from the new PC, instead of sending the translated file from your Mac. There used to be ways to launch windows temporarily on Mac and you could bypass this issue. But from my understanding there is no way to do that on m2 chip or newer.