Win: Popups and Context Menus stay in foreground when debugging

I open a context menu in my application and select an action from it.
The action triggers a breakpoint in my debugger.

Observed Behaviour:
When I switch to my debugger window, the application window goes to the background, but the context menu remains visible.

Expected behaviour:
Both the application and the context menu go to the background.

The same applies to PopupWindows with controls that trigger a breakpoint.

This issue sounds similar to RT-25483, but the problem is less severe.

The attached demo illustrates the issue when you debug it with a breakpoint set in the EventHandler.