I agree and confirm what And_or says, and I am seeing the same thing with WP 3.5.
In addition, the 'Select' dropdown to Include or Exclude has the same issue with closing without being able to choose.
In addition, the 'Content Type' dropdown for Show Content, Show Excerpt, etc, has the same issue with closing without being able to choose.
Looking in Firebug console, it looks like admin-ajax.php is the conflicting issue.
Thanks