True, that is because the vst ui is not modal, it is not 'closed' it is send back in then stack of on-screen windows but the solution is to make the vst-UI-window to 'stay-on-top' or to rethink the issue, ad some dummynotes on a piano-roll, manipulate all the VST-ui's button and sliders, and build your preset, then there is no need for pressing any keys
Stay-on-top is invoked on the context menu in top-left-cornor. right-click, and choose the option
Remember to reset! It gets really confusing fast..