I have focus follows mouse pointer set and I think the default is focus not to follow mouse pointer.
Its setting is buried deep in the Control Panel and is one of many "ease of access tweaks".
Thus when the drop down is closed just after I click it, my pointer finds itself over the main VP editing window and the Effects window disappears.
When the Effects window is open - I only have to wander outside for it to close 0.5s later.
This may seem irritating at times - but I find focus following the pointer so natural, I've even forgotten the reason why I originally set it.
Apologies if this made what I was saying strange to understand.
Thanks gents for all your help.
Alan.