This is intended behaviour like any other full screen app. When you switch focus from fullscreen it gets minimized like any other app.
This sounds a bit worrying as I run MP on my TV (2nd screen) and use my main monitor for other stuff. Does this mean that when I operate another program on my monitor, thus taking focus away from MP, that MP on my TV will minimise?
Try it! You are one of the very few who has this usage scenario.