It turns out there is a bug in OpenOCD related to a change made by GDB. A bit of detail is here, and a patch has been submitted, and a workaround is provided:
Add this to your cfg:
$_TARGETNAME configure -event gdb-detach { shutdown }
I tested this workaround, and it does work, but in the end, pipe mode is so slow on Windows that I chose to use TCP, even though it is less convenient.