The behaviour here is similar to games such as Minecraft where loss of window focus goes to menu (w/ quit option).
The reason is that, like Minecraft, Hedgewars captures mouse for moving the camera.

When you are at the quit screen, mouse capturing is released.
Due to lack of much in the way of any main game menu to speak of, there's no other screen to indicate "not currently capturing mouse/do something to resume capturing mouse"

If you disable this, and if you do your own build you certainly can, you'll find moving the hedgewars window around/changing its options to be considerably more complex, and depending on window manager, might have some oddity w/ mouse getting yanked back even if the window isn't clearly focused, but you are over it.

In next version, clicking anywhere in the window also cancels quit, so that's probably a safer thing for people who aren't so good w/ the keystrokes and also switch apps a lot.

Cool, thanks for the response, the clicking thing might help, somehow I had imagine that in some previous version when I started playing the banner didn't appear or maybe I didnt notice it and now I do!

Well. The behaviour was added 2 years ago.
Prior to that, to move the window, under linux, you could use alt-click. Not aware of equivalent under OSX and Windows.
You could access menubar if you were careful and window size/position allowed it by kinda circling around the window to avoid being recaptured. Assuming something wasn't glitching and you didn't end up being captured anyway.