Not sure if this is supported since I'm on Linux/Wine. I don't know if this also happens on Windows, because I guess someone would have mentioned it by now and I found nothing here.
I'm currently running HeidiSQL 10.2.0.5669. Whenever I'm in a grid (table data, table editing) and I press backspace, the active tab looses focus and the first tab called "Host [...]" becomes active. Del(ete) works as expected, but.. the number of times I press Backspace and end up in another tab.. well, it's quite annoying. ;-)
I'm unsure about when this started, but I do know this didn't use to happen in a previous version. Is it something that can be fixed?