Nope, talking about the built in sprite editor specifically. Also does it on the tile background editor, sprite font editor, etc etc. Pressing ESC does in fact close those windows, but I'm used to alt+F4, even though it's more keystrokes.
I did a few tests, and pressing F4 in the sprite editor does nothing (as expected).... but pressing alt+F4 closes the sprite editor, and runs the current layout. Pressing alt+F4 on windows like, "add object" don't seem to have this bug... just the sprite editor type windows.
It doesn't do it every time, but it does it about 80% of the time... it's really random.