1. open sales order (or open high volume mode)
2. select F6 - filter
3. create new doc from filter popup window, or select ok, and create new doc (so no really any filter defined.)
4. fillout new doc and complete order
5. newly created sales order document after complete disappear from order window.
so you need to find again. if this feature is combined with definitive sequence on complete, then is quite frustrating behaviour.