Yeah in panel view you always have to remember to click any of the save, use or cancel buttons to avoid that behaviour. I'm quite used to click them instead of closing window, so that doesn't annoy me that much anymore ;)

If you can't stand either of these options, there's another option to use preferences in oldskool Amiga way. Copy Preferences.info in SYS:Prefs/ dir to all sub preferences names. For example "copy SYS:Prefs/Preferences.info SYS:Prefs/Audio.info" and then you can click Audio icon to open audio preferences.