You're right, Honeycomb and ICS don't automatically close the notification panel when a button inside is clicked to launch an Activity. (At the time we didn't have a way to tell which of your notification's buttons were going to launch an Activity, nor could we intercept that click appropriately. It wouldn't have made sense to close the panel on any click, because it would have made things like music controllers really unpleasant.)
Here's what you can do: On HC+ICS, once your Activity has been started this way, you can broadcast Intent.ACTION_CLOSE_SYSTEM_DIALOGS
to explicitly close the notification panel. Only do this on pre-Jelly Bean devices, and only if your activity has been started in response to your own notification's PendingIntent.
Note that this is still the only way to close the panel on Jelly Bean if your notification's buttons use broadcast intents instead of starting activities.