After clicking Escape:

After clicking Alt + F4:

If you are referring to the background colour, I think that's the expected behaviour when pressing ESC (it does a little fading animation, and the music volume drops to 0).
Yeah, that's what I meant. But shouldn't it also do that when clicking Alt + F4 so it looks the same no matter what?
I guess it's possible, but it depends on the design they have in mind, and the situation: with ESC you probably really want to exit the game, so it fades the music, the background etc.; with ALT+F4 (or the X button) you can be anywhere (so the second one is more "unexpected", and the game will keep music and background).
Honestly I don't think this is actionable. Holding escape is a specific hold action which causes the dim. It's going to look different.
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If you are referring to the background colour, I think that's the expected behaviour when pressing ESC (it does a little fading animation, and the music volume drops to 0).