I think it is because the clutch is still spinning above the engagement rpms. Say the clutch pads engage at 3,000 rpm. Which means that when spinning at 3,000 rpm or more, there is enough outward force to hold the clutch pads against the outer drum. So when you let off the throttle at higher rpms, the clutch is still spinning fast enough to keep the pads/drum engaged. So if you engine brake long enough to let the rpms fall below 3,000 rpm, then the clutch will start slipping and soon completely disengage.
Otherwise the motor would stall.
So it is not surprising that you would see some engine braking, but you do not get engine braking at low speed, do you?