There is currently some discussion as to whether this is intended behavior or a bug.
Per the Help: "If you are the agent who should handle the callback and are not in the queue where the callback was created, select Route callback to me if possible. If you do not select this option or are not available for the callback, PureCloud sends the callback to the next available agent in the current call’s queue. "
To me, that looks like it is intended behavior. Based on experience, some call centers do want agents to receive their scheduled callbacks even when they are on a different campaign since it is tied to their compensation. Other call centers (such as yours) don't want that behavior.
So, we'll have to wait and see how it sorts out, once Product Management works through the overall desired behavior.