Version of OpenTTD

1.10.3

Steps to reproduce

1. Give a train orders to do a regular service at a depot.
2. Open the depot's window and select "Get list of trains with the current depot in their orders".
3. Close the depot window -> The train list window remains.

Do the same with a station or way point and the train list window will close with the station/WP window.

Personally, I prefer that the train list window remains and would like that to be default.