I say it disappears because you either have the db enter key property set to 'new line' and the control enter key property set to default, OR for this control you have it set to new line. So you are doing a line feed/carriage return in the control on enter key press, which means focus has not left the control until you click or tab out of it. That is also why the control is not null on the key down event. Then again, I've been wrong too many times before...
The more we hear silence, the more we begin to think about our value in this universe.
Paraphrase of Professor Brian Cox.