Because the other Windows default is to bind Esc to Close and/or Cancel. Almost all Windows dialogs with a 'do nothing' option, or with no options at all, can be closed just as easily with Esc, and that's actually the key I usually use to do so.
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Yes, but the Windows default is to bind Enter to the default dialogue button. As a result, GalCiv should support the closing of the dialogue box when pressing Enter.
When people see those dialogue boxes, they see the word "Done" which is immediatly associated with "OK", and triggers the intuitive response to press Enter. They become a bit confused when Enter doesn't dismiss the dialogue.
Not only that, but adding in Enter would speed up the dialogue response time as well. When people press "Enter" to go to the next turn, they'll have to move their hand to the "Esc" key to dismiss a dialogue box. This process can be a bit slow, especially when they don't know whether a dialogue box is going to open or not.
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