I believe that's a new feature. if you say New->Photo Document, you end up with the same thing.

Basically what it does is assume that you're editing a bitmap image for later export, so it makes sure that the page size always exactly matches the size of the image that you're editing. So if you for example add a drop shadow to the image, the "page size" modifies itself accordingly. The pasteboard is a darker than usual color to remind you.

I think you do have to import to get the old behavior. If you drop the image on the page, it works the old way, but if you drop it on the title bar of the Xara window, you get the new behavior (assuming I'm remembering that correctly).