Not sure if this is how it's supposed to be during windowed mode, but I just had this happen to me.
I hit the red X, which brought up the dialogue box asking for confirmation. Said to click cancel to stay on the page or OK to close out. I hit cancel, as I remembered I wanted to put it back to full screen mode for tonight's tournament, but it closed out anyhow. Uncertain if it is supposed to do that or not, but if not, wanted to bring it up to you.