In the screenshot, I've pressed Alt-Tab and you can see the Delete confirmation dialog is open. But it is not visible/accessible, because the Start Menu is on top, even if selected with Alt-Tab.
Open-Shell Menu 4.4.142, Windows 10 Pro x64 1909 18363.476

When doing the same operation in Classic Shell, the menu is closed before the dialogue is produced by Windows, so you can see the dialogue & action it.
In Open Shell the menu remains open, and on top, and the dialogue is produced behind it. It is possible to Alt+Tab to the dialogue window. Whilst you've got Alt+Tab pressed, you can see which key you need to press (in the screenshot above it would be Alt+Y), then release and press the required key combination. Of course if that produces another dialogue box you'll have to do it all again.
I got tired of this and I have just reverted back to Classic Shell
Open-Shell always worked like Classic Shell too, but for some reason the change was implemented in the previous update to accommodate a single user request. Hiding Windows prompts is completely non-standard Windows behaviour. A pity, really.
Come on guys, please make this "always on top" thing at least optional.
@Gittyperson
@stringydave
Could you please test with this build?
It should fix the issue.
It fixes it, thank you. Perhaps you could also consider making this optional, although it's not causing problems any more.
@Gittyperson
Thanks for confirmation and suggestion too.
For now I'd leave it as it is. If there will be more people who don't want this behavior we can consider making it optional.
Observation with update 4.4.143
Whilst fix in 4.4.143 works OK for the "Dialog Box" the ensuing Progress Window that opens, still appears BENEATH the Open-Shell Menus
Most helpful comment
@Gittyperson
@stringydave
Could you please test with this build?
It should fix the issue.