Well, i think that's not how it supposed to be. In other window, everything else may be grey-out for me. That's more "natural".Some things Civ5 does with its UI is a big step forward from 4 though. For example: mouseover info in the info bar works no matter what screen you are in. I played a little bit of 4 again recently, and was aggravated to all hell that I couldn't mouseover stuff to get info unless I was not in any sub-window.
Have you tried pushing, F1 til F10 for example ? Great. Then you know, that every window is NOT closed, just overlap eachother. Very annoying; you can close them all yourself.
Or, with the overview of all your cities, when you press the "production"icon, you notice that the background goes to that city where it is builded; BUt, you won't see as the city-overview window stays in top.
More negatives then positives, if you ask me.
Another weird event, at the start of the turn, a popup window, info from a city state that he is about no longer ally to you (or friend). A line says: if you want to go to that city, you can close this and go to that city. WTF? Why not just simple a link while you are there, in that window ?