SU needs to run something. And what is definitely and certainly is installed on a Windows system is Internet Explorer (and Safari on Mac.) Those webdialogs are already Internet Explorer instances running so they will open any further browser windows in Internet Explorer. The (so called) "webdialogs" - i.e. when you open a SketchUp window - you actually open Internet Explorer (on a PC) and Safari (on Mac.)
Google decided to use these browsers as no one can predict what other browsers will be installed on an OS but these two, default browsers are installed on these two operating systems already. Now when you already have Internet Explorer open and click a link, it will obviously open in the same application (Internet Explorer or Safari) as where it was clicked on.
There have been discussions to practically embed Chrome's engine into SketchUp, but what will happen in the future is unknown.