ah, thats strange

In the manual for my AI606 button 4 serves no function if pressed on its own. Right well, my guess:

the function you are using, is the TIMED OUTPUT, which from what i can remember can be programmed from something like 10 seconds to 3 minutes, you may be using this feature, and then trying to arm while function is still active, try closing the windows, and see exactly how long u have to wait until the alarm will arm.

Thats what i reckon if it only does it after using window closure