MediaWiki core handles logout by clearing browser cookies; if the user is also logged in on a different device, that's not affected.
CentralAuth, on the other hand, changes the user token stored in the global user table on logout, so all sessions are invalidated. This is more secure but also more annoying - there's no way (without manual cookie tampering) to log in and out on e.g. a public library computer without getting logged out on all my devices.
Security concerns aside, replicating the core behavior in CentralAuth would be very hard you'd have to delete the cookies on all the other domains as well (see T124409: Logging out immediately logs you back in) so this would require tracking all open sessions in the database (ie. instead of the current user_token field, or gu_auth_token for CentralAuth, have something that's in many-to-one relationship with the user record).