Launching Everything (with keyboard) and starting something without any windows open works fine.
Open a window and position it near the center of the screen so Everything would overlap it, keep pointer away from the window, launch Everything:
Moving pointer from desktop background into Everything works fine.
Moving pointer over the window and then into Everything makes it disappear immediately after launch.
Launching Everything while pointer is over a window makes it disappear immediately.
I'm on Arch, under X11, proprieatary nVidia drivers, updated within the hour, recompiled EFL + Enlightenment + Terminology just after that.
Tried many permutations of window focus and Everything settings without noticing any difference.
EDIT: Forgot to mention Everything behaves pretty much the same if launched from the shelf icon.