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That window essentially is the grandMA3 application. The other "normal" stuff that opens is more or less the User Interface for the application. That window is "supposed" to hide itself so that you don't accidentally close it (and thus close, not crash) the application. However, for some reason the developers are as yet unsure of, it doesn't always hide itself in all circumstances. (For example, it has never hidden itself on my computer.) In any case, for now just minimize it and leave it be.
Thanks Ryan Kanarek for the feedback
I'm glad to see I'm not the only one having this problem.
Hope the issue will be fixed in future releases because it's easy to inadvertently close the window during the show