It would seem that you have to switch to Paginal Mode. By default it's in fetching mode, which keeps the connection open until you navigate to the end of the recordset.
To change to Paginal Mode:
- Select 'Tools -> Options' from the main menu. The 'Options' window opens.
- Navigate to the 'Data Editor -> General' branch.
- Select the 'Use paginal mode by default' option and set 'Initial page size'.