Currently:
http://zkfiddle.org/sample/1qrjr0g/1-zk-menupopup-auto

run fiddle
1- click on down arrow in header to show the menupopup="auto" popup
2- hide a column

Debug info:
The menupopup automatically closes when hiding (or showing) a column.
At least 3 trigger close on popup.

• zul.mesh.ColumnMenuWidget._onColVisi()
• zul.menu.Menuitem.doClick_()
• hiding / showing columns trigger a redrawing of the headers. Since the headers are redrawn, any popup attached to the header a also destroyed. (setVisible > updateMesh > rerender > unbind > close)