Andy,
The short flippant answer is 'coz that's how it was written' ;-)
However, what should be the case is that each of the 'Add' dialogs provide (at least) three buttons - 'OK', 'Apply', 'Cancel'.
Behaviour of each of these as follows:
'OK' - create/make the changes specified then close
'Apply' - create/make the changes specified but remain open
'Cancel' - discard changes/abort creation then close
It would be good to know which dialogs you've noticed that are not following this convention so that we can sort out consistent behaviour throughout.
Thanks.
Best regards,
Matt H
Matthew Harris