It's still slightly odd. The Brexit Party is a protest party. Their purpose is essentially to pressure the Tory party into a policy position. Even Farage doesn't honestly think that they will ever have any serious power in their own right. A protest at an EU election is arguably much less effective than threatening the Tory power base at Westminster. The Brexit Party strategy is ultimately doomed imo. They split the right wing vote, and if the Tory Party shift position to nullify the threat of the Brexit Party they will lose votes elsewhere.