How to reproduce:
1. Create a new Project
2. Hierarchy > 3d object > Cube
3. Right-click the Cube and "Set as Default Parent"
4. Cube > Right-Click > Create Empty Parent

Expected result: Create Empty Parent creates the new GameObject as a child of the default parent
Actual result: Parent gameobject is created for a default parent

Documentation: https://docs.unity3d.com/2021.2/Documentation/Manual/Hierarchy.html

Reproduced with: 2022.1.0a6
Didn't reproduce with: 2020.3.17f1, 2021.2.0b9, 2022.1.0a1, 2022.1.0a5

Workarounds:
If you want to add a parent game object to a default parent, clear the default parent before doing it.
If you want to add a child game object, select 'Create Empty' instead of 'Create Empty Parent'.