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As far as I see, in DX spot window if you click on callsign it does not change frequency of VFO but brings all the data of DX station to Main log and if you click on the frequency it brings both (callsign and QRG from VFO).

When I choose a DX spot, it loads the Callsign to main log and brings info from QRZ.com

However, if I move the frequency a little bit, the callsign disappear together with the data and if I click again on DX spot (only on the callsign and not frequency to avoi modifying VFO) it only sends callsign to main log, and it does not bring QRZ data (I guess that it does not call QRZ for getting name/qth)

Am I doing something wrong?

This is a convenience feature you have activated. You can disable it in Menu-->Logbook-->Clear after QSY

Thanks, and apologies, I feel stupid with that. I need to RTFM seriously