After changing the size of the pencil width or colour, tapping off the menu to close it with the pencil causes a straight line to be drawn. The only effective way is to tap with your finger.
Clearly one should be able to tap off the menu with the pencil.
*Edit*
I should have stated this is 1.8.0.165 on a 1TB iPad Pro 2018
RPReplay_Final1582029380.mp4