The UI on their site is extremely unclear and I initially made the same assumption, but they're not asking for your GitHub password. They are asking you to enter in a password for their site to create an account. I still have no idea why it was necessary to link my GitHub account though, since I had to create a new codewars account anyway.
Glad you were able to make the distinction, we are working on making Github's integration cleaner. The intention is to allow you to link your github account, so that you can use it for return access to Codewars. It's also meant to auto-populate your username/email and not require password - which we just realized is broken.