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OS and version
When you edit a Script from the Button Setup dialogue, you are not able to close that window with the keyboard. Normal behavior is the Escape key for Cancel, and the Enter key for OK.
How to replicate
Enter Layout Mode.
Doublecklick on a button that has a script tied to it.
Click on the script name.
The Edit Script window opens. Cancel and OK buttons are down to the right.
No shortcut work for Cancel and/or OK.
While we are on the subject, I think "Save" is a better term than "OK".
Use the mouse.