It is old bug but didn’t bothered to bring it up seeing it was probably known issue as it is just obnoxious. Unfortunately now I have too much free time on my hands and I’m quite boring, that’s why you are seeing this post.
It doesn’t affect sprite editor specifically, it affects every non-modal window spawned by GD.
It’s really annoying, when after finishing editing sprite or whatever, GD’s main window just dives in under whatever else windows you have in. So e.g. when you have browser and GD opened at the same time, which is my setup, browser will get on top after closing sprite editor/other windows as if GD itself was closed. Even though I can alt-tab to GD, it is really annoying and breaks the flow. You don’t want to mess with the flow, trust me.