No, I haven't problem too, with standard configuration, and without script (scripts to change focus).
There is an option like "always stay on top" to check (or uncheck) in ppsspp that can help for focus (on start, but after close .....)
But all configurations are differents, and the windows problems possibilities are endless ^^.
My better crazy bug : mGalaxy close itself when I use psx emulator, after 3/4 mn, but like I m the only one with this bug, I think it s because my configuration. Don't worry about that, for the moment I use a script that reload mGalaxy if it s closed, not sure the bug is still here.