I see it, it only occurs while the second window is still closing, because they share the same context help system, and are fighting over control of the cursor while the animation is playing out, but don't actively check that the cursor aligns with where they think it is.
Because this is caused by an internal engine behavior used to automatically detect which window has the cursor focus, the best solution would be to remove the animation from the second window, instead using the instant-disappear method, but I think it might be preferable to keep it as is considering how minor this issue is?