That is actually intentional, and it was really an experiment. The idea is that it should be easy to fill out all of the player information fields. Type a line, like the Nickname, and hitting Enter takes you to the next line to easily continue.
Actually, pressing Enter to "close out" (or "accept") on a dialog box should only work on dialogs that have only a single entry field, like a dialog to create a new Property Set, or a new Screen (dialogs that ask only for a name).
This behavior is also on the Level dialog on the Rounds tab. Just trying it out for now. I was going to try to add it to any dialog where it would make sense, but I ran into some strange behavior with IE's event handlers, so I left it to those 2 dialogs for now.