Starting a DM from a space doesn't add that DM to the selected space

### Steps to reproduce

1. Open a space
2. In the left panel, press + next to "People"
3. "Start new chat"
4. Select a valid user
5. -> was expecting DM (room) to be added to the space once I initiated the chat

### Outcome

#### What did you expect?
An easy way to start a DM and add it to a space

#### What happened instead?
Took me a while to figure out how to add a DM to a space. It's not intuitive and I have to add a "room", which isn't user friendly for people who don't know that DMs and rooms are the same thing.

### Operating system

_No response_

### Browser information

_No response_

### URL for webapp

staging.element.io

### Application version

Element version: 1.10.13 Olm version: 3.2.8

### Homeserver

_No response_

### Will you send logs?

No