Okay, the following bug report has been filed:

"If you directly click on an item in the left-hand pane (for example, "playlists" or "all tracks" or "artists"), setting the actual focus to an item in the left-hand pane, then the Ctrl+F4 shortcut for closing the window does not work.

If you focus the right-hand pane by clicking anywhere in it, then Ctrl+F4 works again."
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Tony Fabris