Why does Siri ask to continue on a Companion Device?

I ask Siri for a request, something like play "Play 101.1 the beat" (which it is set up as a shortcut as well), and it says to continue on a companion device. And it is not limited to just that request. All things are up to date with software. Personal requests are turned on (on all speakers) Please advise....

[Re-Titled by Moderator]