I think these are valid questions. I think we can argue that the context dialog is a temporary interaction that should be dismissed once the user wants to interact with anything else on the page.
The selection area has a different use case in addition to the analyze drilldown button - it is also used for filtering data right away. Therefore closing it when interacting with anything else on the page would break the filtering use case.
But the heatfield is a bit problematic for me - and I can't find a good reasoning for the behavior as it is right now.

@dynatrace-oss/ux-core Please help us here 😄

@ffriedl89 I already talked to Kathrin Aigner (the component owner), and back then they did not consider the accessibility topic. Therefore, she approved on adding an "x" to the heat-field tooltip.
Regarding closing when clicking outside according to @lukasholzer there is a function that can be used (see attahctment), which would allow us to close when clicking outside. (since we don't have the filtering use-case)

@perihan-rashed thanks for clarifying! So an action item would be to create a ticket to add a closing button also to the heatfield overlay by default :) I will create a separate issue for that and I think we can close this one.

@ffriedl89 awesome thank you !

And as for the clicking outside? Should that behavior also be in Chart Heatfield and Chart SelectionArea? Or the ESC button? @perihan-rashed

Confirmed with the component owner and it should close with ESC but not when clicking outside.

@ffriedl89 , so let's close this issue and create another issue for the ESC button behavior for both heatField and selectionArea