The way Windows and OS X present windows and menus are different. For example, many Windows applications including GridGammon have an application window that contains all the application's subwindows.
GridGammon for Mac OS X has separate windows for the Lobby and Board. You can have both windows open at the same time, although commonly you will only have one open at a time.
When you join a match, the Lobby window will be minimized to your dock (you can change this behavior in the Preferences).