This is expected behavior.
If you close the file where the script initiated, the script will stop and the Exit script will execute (if checked). To keep the script running to completion, the database file must be open, so hiding is a workaround. If you need it closed, make that the last script step.
It maybe expected behavior, but it is not document in Tech Info article. Since the behavior is not consistent with FM9 or prior and it is not document then it should not be expected behavior. Can you please have someone revise the tech info article? I think that would be helpful to others.
It certainly was not my expectation when getting that phone call from a client.