We had the same issue with 8.4.1 and I can say this is due to a call to Ajax container. As I have noticed some properties on pxThread page and some Boolean flags on Declare_pzRecentsCache.pyRecentListItems page for the corresponding case (Newly created case).
This is due to on click of the Create Case link Pega is executing Ajax container script.
To skip the Ajax call I have updated the Action events for the Create Case link, now it is working as expected for me.
Here are the steps to fix this.
Step 1: Save as the navigation rule to your application specific rule set.
We did the same change and it worked as expected. Is it a product bug or expected behavior? Because we have to save pyCreateCaseMenu rule from Theme Cosmos to our ruleset. Once we migrate to New Cosmos 8.5, will it not impact the behavior?