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The popup is remaining visible because there is a fade animation when it is closed and when you hit a break point, the animation has not yet been finished. To overcome the issue, you can disable the animations of the application menu:
Assuming that you would only need to disable the animations when the application is in debug mode, you can surround this setting with #if DEBUG directive.
I hope I was able to help. If you have any additional questions, feel free to ask.
the Telerik team