Command Palette shouldn't close on Sublime losing focus

(On Windows 7, 64bit)

If I have a Command Palette Panel / window open, and switch to the window of another application, either by Alt+Tab or by clicking, the command palette closes. This is very irritating, especially for plugins that add new, Command Palette-like panels with new information.

Also, the Go To Anything Panel behaves differently; it never closes, even if you click in the Sublime Text editor pane.

Suggested solution:

Panels should always stay open if you switch to another application, but close when they lose focus but you stay inside of Sublime Text.