There is a way to disable Zbrush closing Subpalettes automatically.
Pereferences -> Interface -> Palettes -> Turn off the One Open Subpalette feature. 🙂
Also here you can find the Auto Collapse button and the Left Tray, Right Tray buttons. Turn those off if you want to prevent collapsing (closing) when you open another Palette (menu/panel).
In Zbrush 4R7 the button’s name is wrong but no fear, same functionality.
Illustration: the base mesh is a 3d scann from: http://www.3dscanstore.com