I searched and didn't find a mention of this behaviour.
I have assigned a keyboard shortcut (CTRL+ALT+s) to create a new snapshot. This is the important difference, because clicking with the mouse on 'New snapshot' works different.
Create a new document and do one thing like drawing a stroke.
Press the keyboardshortcut to create a new snapshot.
With the dialog box open where one can enter a snapshot name hit ESCAPE.
>>> The dialog closes but a new snapshot is being created.
As mentioned this does not happen if the snapshot is invoked with the mouse.
d.