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I have found that the SfDialog doesn't use the ZIndex property to set the rendered components Z-Index.
I will link a repository that has an SfDialog that has a ZIndex property set to 1000 and it will show the Dialog's current z-index when open. You can test this bug by closing and opening the dialog via the buttons on the screen.
When you run the solution you will notice that it will render the first time with a z-index of 1000000000. I believe this z-index occurs specifically so that the SfDialog renders on top of red the license error banner. If I close the dialog, then close the banner, it shows a z-index of 1001 when I re-open the dialog via the 'open' button.