This is a good & reasonable question to ask because the observed behavior is counter-intuitive, and it gives occasion to lay out some of the subtle practices around closure and migration which, by their nature, can't be exposed in a radio button-style user interface.
Omitting Stack Overflow from the closure reason text is a deliberate choice, not an oversight. Stack Overflow has a number of requirements for a good, on-topic question, and almost all of the programming questions we see here are deficient in that regard. Here is a summary from Stack Overflow's help center: https://stackoverflow.com/help/how-to-ask
The default closure reasons are intended to address the most common closure reasons. We don’t mention Stack Overflow because the vast majority of posts closed as programming questions would not be a good fit on Stack Overflow. Recommending users go to a different site means that, in most cases, these users will simply copy/paste a poor question to the other site; then the question is closed. This doesn't help anyone.
Instead, the better alternative is for users to learn on their own how to determine which site is a good fit for their questions, as well as the standards for asking on their chosen sites. This is what the Help Centers are for, and why new users of a site are prompted to take the Tour.
If you really want to recommend an alternative site, you can do so using a custom closure reason, but there are some risks:
- The question may not be on-topic at the destination site.
- The question may not fit the quality, reproducibility, or other standards on the destination site.
- The question actually has statistical content, but that content is buried under a pile of code, distracting content, or poor explanation.
- Users may be confused because to their understanding the question is about statistics, but the comment leads them to believe that their statistics question is not on-topic on Cross Validated. This is confusing, at best. For example, "I'm using Keras! You have a Keras tag! Why is a machine learning question about Keras off-topic?"
It's challenging to know all of the details of all of the various SE sites and their various scopes and practices. As an example, I was surprised when I first learned that quant.SE only considers questions from people who are either (1) currently employed in quantitative finance or (2) pursuing graduate study in quantitative finance. In other words, hobbyists and other laypersons are not welcome.
It's perfectly fine to not know where a question can go, if anywhere. Not every question has a home where it is on-topic for some Stack Exchange site; the Stack Exchange Q&A model is oriented to answering only certain kinds of questions.
If you truly feel a question should be moved to a different site, and you are confident that it would be on-topic and well-received there, use the migration option instead. But if you're not sure whether the question is a good fit for the destination, or the question is poor in quality overall, then it's best to simply close.
A long-standing principle of migrations is “Don’t migrate crap.” https://meta.stackexchange.com/a/91446/320588