(sorry pressed SAVE too early on my previous answer...)
I guess this behaviour is meant to be like that, just as in the domino name picker dialogs: select an item then put it into a selection basket and when you're done hit ok.
I wonder though whether this really makes sense for a single value dialog. It appears to be driven by the extlib.dijit.PickerListSearch dojoType.
Would be nice if there was a way to have a single value picker like in "Core - ListBox picker single value", but *with* some kind of filter...