Window caption is grey when hitting cancel from CFileDialog - why?

Question

It has been brought to my attention that CFileDialog has some odd behaviour. I am using it with a CDialogEx but I also tried with CDialog.

For example:

CFileDialog dlgSave(FALSE, _T(".SRR"),
    m_strFileName, OFN_OVERWRITEPROMPT | OFN_HIDEREADONLY, _T("*.SRR|*.SRR||"), this);
if (dlgSave.DoModal() == IDOK)
{
}

• Run that in a dialog project via a button.
• On the file dialog hit cancel

Now the title bar of the application dialog is greyed. Why? I can repeat this for any of my dialogs. But if I close with OK I don't get this issue.