Chances are the judge did not want to delay the case further or felt it was more important to reach a conclusion to the case on the merits of the case itself rather than divert focus to addressing a failure to timely file as it would result in the same outcome as if the judge had not ordered the defendant to file a reply.
By first ordering to show cause only to delay progression of the case in lieu of defendant submitting an explanation presenting good cause as part of determining whether or not it be excusable that defendant be given additional time to file a reply or otherwise impose sanctions against defendant, the judge may have considered that in the interest of an efficient and speedy process (or proper justice), an order to show cause would further delay the defendant in drafting a reply to the the response and move the case forward.
It may not necessarily be prejudicial to the responding party (plaintiff) per se and may have just been the chosen path as being the lesser of two evils, assuming that if the motion is ultimately denied as a result of the response lacking a reply then one might argue it would seem prejudicial to the defendant who filed the motion and its dismissal would prevent the defendant from raising the motion again.
what authority does a judge order a party to file a reply when that
party has obviously chosen to not file a reply?
Federal Rules of Civil Procedure Rule 6(b) - Computing and extending time, as well as the judge’s individual rules of practice.
To say, "when that party has obviously chosen to not file a reply" is an assumption, and a judge must remain objective when making a decision that adversely affects either party.