1. Starting the App
2. Select "File -> Open..." in the menu bar
3. The opening Finder window appears.
4. Clicking on "Fertig" (The German word for "Ready" or "Done". I think it should better be "Abbrechen" ("Cancel" in English)) instead of clicking on "Open" closes the opening Finder window.
5. Didn't do anything else in Pixelmator Pro just switching to another application lets Pixelmator Pro disappear. It's no longer visible in the dock or in the app chooser but it is still running. It is visible in the Activity Monitor app and also in the Quit Immediately window. See the picture below.
Pixelmator Pro 1.0.5, macOS 10.13.2
