The lazy dumb Linux installers do not verify the location of this partition an simply load the boot instructions there without asking the user. The main reason for this 'unexpected behavior' are the extremely confusing and poorly implemented UEFI standards: the computer BIOS picks the EFI partition it finds first (on any disk) and boots from there. It is possible to run a full Linux system in a removable drive but the installation process is tricky, even if you select the correct destination drive and the the correct destination for the boot loader you might end up with your main hard-drive boot partition overwritten and a USB stick that does not boot at all.
Unfortunately some features like the ability to update the OS or install drivers can only be accomplished with a full Linux installation. Live Linux USB drives are nice for testing purposes and with the new persistence modes they can also remember a few things between sessions.
