It makes sense from an ACID point of view.

Since you're calling the stored proc as part of an INSERT statement, the consequences of the procedure being called should only be committed if the INSERT finishes (which includes the insert statement). if the INSERT were to fail, you'd need the DB to be put back to the state before the EXEC occurred, so the engine has to put a lock on anything being changed as part of the exec call.

the fact that the output from the proc comes some something entirely different is just a red herring.