MIDI Editor actions have the following (where Main actions do not):
Misc: Close window if not docked otherwise pass to main window (ESC assigned)
Misc: Pass through key to main window
The docked midi editor is the only docked window that does not close when it has focus and you press ESC.
If we had these in the Main actions then that would sort the problem for both docked windows and floating windows would it not?
So, for example Marah you could make a custom action to pass "play" through the undo window?
I mention actions because I'm not sure an either/or global preference will be suitable.
I voted by the way