I found time to take a closer look at this and it took some figuring out (focus issues are always difficult to debug as the debugger steals the focus) but I think I found the issue. It turns out to be caused by a timeout that it used to handle focus changes within the list / grid (switching between columns). The fix below decrements this timeout changing the order of things happening. Of course this will be fixed for next rev (actually a better fix, but that one I can't back-port).

Code:
//  HotFix for dialogs opened via prompt button not taking the focus (HW, DAW, 2020/06)
if(df.pnDataFlexVersion == 19.1){
    df.WebList.prototype.onBlur = function(oEvent){
        var that = this;
        
        this._bLozingFocus = true;
        
        setTimeout(function(){
            if(that._bLozingFocus){
                df.WebList.base.onBlur.call(that, oEvent);
                
                that._bLozingFocus = false;
            }
        }, 10);
    };
}
Of course this code needs to be included in your project after df-include.js is loaded.