Yes, this is expected behavior in Mendix. When you close the dialog without saving, Mendix usually performs a rollback. If the object is new and was never committed, a rollback will delete that object.
When you reopen the dialog, the page may no longer have a valid object context. If a Data View has no proper context object, Mendix shows the fields as read-only or disabled. That is why the form looks gray even though your editability settings are correct.
The common best practice is to create a fresh object each time you open a “New” dialog and let Cancel simply rollback and close. Another option is to commit a draft object first if you want it to survive closing and reopening the dialog.
So this is not a bug. It is how Mendix handles uncommitted objects after rollback.