In docs I didn\'t see such information.
There are options to close dialog in such cases:
1) push Esc;
2) click on \"OK\" or \"Close\" buttons in the
Facing the same problem, I have created a small plugin that enables to close a dialog when clicking outside of it whether it a modal or non-modal dialog. It supports one or multiple dialogs on the same page.
More information on my website here: http://www.coheractio.com/blog/closing-jquery-ui-dialog-widget-when-clicking-outside
The plugin is also on github: https://github.com/coheractio/jQuery-UI-Dialog-ClickOutside
Laurent