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I see. One can click on a particular day (anywhere in "day rectangle") and then switch to the preferred view via the keyboard shortcut. This is particularly useful if one wants to use "week view" (see also my answer which is for "day view").
After playing around it seems to work now. Turning it off and on seems to fix it. However you have to wait a little longer until it goes to sleep (in case it is charging).
@MarcelStör I'm on macOS 10.14.6 and the window does not disappear if I turn on "do not disturb". (I tried turning it on/off before and also during the call)