Same here ... just had a discussion on that on german mailinglist.
Some more details:
1. opening Pegasus and immediately opening some extra subwindows for folders or mails will fill up the dropdownlist as expected.
2. closing only one subwindow will stop filling the list with newly opened windows
3. closing a folderwindow will close all mailwindows of mails, that reside in that folder.
Seems that this dropdownlist is programed as a listof pointers and deleting one element points the rest to nirvana.
bye Olaf