I have noticed something similar. 

For example, if I do:

julia> using PyPlot

julia> figure(1)

julia> plot(sin(1:10))

julia> figure(2)

julia> plot(cos(1:10))

then close the first figure (by clicking the red button with my mouse) I 
get a spinning beach ball. I’m on OSX 10.11.1 using Anaconda python. PyPlot 
is at version "PyPlot"=>v"2.1.1+" and my system info is

julia> versioninfo()
Julia Version 0.4.1-pre+16
Commit 2cdef5d (2015-10-24 06:33 UTC)
Platform Info:
  System: Darwin (x86_64-apple-darwin15.0.0)
  CPU: Intel(R) Core(TM) i7-4850HQ CPU @ 2.30GHz
  WORD_SIZE: 64
  BLAS: libopenblas (USE64BITINT DYNAMIC_ARCH NO_AFFINITY Haswell)
  LAPACK: libopenblas64_
  LIBM: libopenlibm
  LLVM: libLLVM-3.3


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