The reason is simple but frustrating for me. Import and image storage functionality in Photos is frustrating for me at all.
Once you uncheck Copy items to Photos Library you can not import images from SD/CF or other card. Or you can but only by drag and drop from Finder window and in this case Photos does not respect that images have not to be imported to library.
I hate that Photos behavior. You have to conduct two independent steps to get images to Photos without being screwed into library. First import them to mac and them to Photos. I will probably return to Canon app that is far from good but let me be the one who manage photos by my sake.