This has nothing to do with WIndows Explorer. You just happened to have a Windows Explorer window open so that it could be the one that got focus. Close all of your windows explorer windows and open something else instead and Windows will probably shift focus to that windows instead. When I tested it switched to my open Chrome window.
Playing with it I found that the XSYNC option is the one that causes SAS to lose focus. Even when SAS was the only program running with option XSYNC SAS would still be in front, but the program window where I was submitting the commands was no longer selected. Setting NOXSYNC and then with or without setting XWAIT the SAS program editor window kept focus.