Yeah, it can be a bit annoying, but I think I understand why Presonus chose to have it work that way.
Be it a track or bus, if you have an effect for that track/bus open and you click on another track/bus, the assumption is that you are no longer working on the initial track/bus so why keep the plugin on the screen.
If you really want to keep it there, they provide a way to "pin" it. See the thumbtack in the upper right-hand corner.
With that engaged, the plugin will stay on your screen until you close it.
Hope this helps.
