This happens because you have checked Ask when opening for Profile mismatches in Photoshop's Color settings.
There is no need to have this option checked, Photoshop will display correct colors no matter what the embedded profile is - it does not need to match the working space.
Also note that Color management policies should be set to Preserve embedded profiles.
I assume that you are using Edit in Photoshop in LrC (not exporting), in which case I recommend using Adobe RGB instead of sRGB. You can change this in Preferences > External editing.
This is not a bug, so a moderator will move this thread to Discussions.