Why? I think this is because books3 contains, you know, books - including some really long books, and proof-pile contains math papers and math stuff, which isn't as long.
So overall I think what you're seeing is a general trend of increasing perplexity on windows above 256k, between 256k-2048k, which is probably not so surprising - or at least, not so surprising when you consider the context of the paper, which is taking a model pre-trained with a much shorter context window and extending the context window using a novel technique. It's hard to adapt a model trained to do one thing into doing another thing, and that's what they're doing, so in that context, it tracks that the longer the context window, the worse the performance.