using VS .NET 2002 and VAX 1246 i get a slightly different effect.
having loaded VS, i simply used the current cpp file as my start point. i loaded the OFIW dialog via the alt_shift_o key press, and canceled it via escape.
if my mouse is in the top half of the screen (output window is docked at the bottom, set to auto hide) then pressing escape to cancel the OFIW closes the output window.
if the mouse is over the output window, closing OFIW has no effect on the output window.
in both cases, when i type the text appears in the cpp file. however, backspace does not work. i have to click into the cpp file before i can delete any text.
Oops, forgot the output window could be docked. Mine is not docked. This may change the bug slightly. And I alsof orgot to mention I was using Esc to cancel the ofiw dialog. VAX behaves correctly if you use the mouse to do that.