That is by design, though I definitely understand that it can be confusing and frustrating.  Elements of your site that you want to be persistent (headers and footers, for example) are best put in your skin itself, rather than in the content panes.  When modules use the ../ctl/.. construct to navigate, DNN hides all other content.  As a developer, there are a number of other navigation choices you can make, but as a module consumer, you are kind of stuck with that behavior.

Hope that helps,