How to reproduce:
1. Create a new project
2. In the Hierarchy window select Main Camera
3. In the Inspector window click on the 'Background' property to open the Color Picker
4. As quickly as possible hover the mouse over anywhere in the Color Picker window
5. Mouse click anywhere in the Color Picker window

Expected result: the Color Picker executes the action that was pressed
Actual result: the Color Picker closes without executing the pressed action

Reproducible with: 2018.4.28f1, 2019.4.12f1, 2020.1.8f1, 2020.2.0b6

Notes:
1. The issue seems to be that the pop-up window does not get fully loaded and the mouse clicks the Editor behind the pop-up window
2. The issue occurs not only with the Color Picker but with other pop-up windows (issue found in: 'Select Mesh', 'Select Material' windows)
3. The laggier the Editor gets (higher CPU usage), the easier it is to reproduce the issue