I believe I found the fix:
Command Prompt -> Properties -> Options -> Use Legacy Console

> Upon updating to Windows 10 v2004, I discovered the following
> behavior:
> 1. Exiting ZTWin occasionally closes the Command Prompt window as well.
> The problem goes away for a while if I make the command prompt window
> smaller vertically, like around 90 instead of 100.
> 2. Sometimes, when starting ZTWin it immediately disappears and goes
> back to the command prompt.
>
> Notes:
> - I'm using the regular Command Prompt, not the new Terminal.
> - This behavior also occurred on v2.4.195 and continues with this one.
> - I run ZTWin from the command prompt, not an icon. I typically have
> multiple command windows open, and that's when it's more likely to
> happen.
>
> It may very well be a Windows issue and not ZTWin, but I'm wondering
> if anyone else has seen this.