This is how blur works in every drawing program I’ve used. It only changes what’s inside the selection, but will look at what is outside of the selection to produce the blur. If it did not, there would be visual discontinuities between the blurred area and the unblurred area.
However, sometimes these visual discontinuities are desirable, such as if you want to blur one discrete element without other elements getting in the way. This can currently be done by placing the objects to be blurred on their own layer, but it would be nice if the convolution menu had options for different ways to treat selection edges, including options to treat pixels outside the selection as a repetition of the pixels inside the edges (this might get complicated for non-rectangular selections) and to treat them as transparent (non-Background layers) or as the background colour (Background layers).