I've never heard of it when exiting the Laser Controller, but if you pull the USB out it does the same thing so I understand how it would do that. When entering it connects to your machine which powers up Grbl. Due to a hardware design flaw the floating output turns the laser on until Grbl boots up and sets the output pin.
This isn't a software or firmware issue, and can only be "fixed" by a simple hardware mod. You need to add a pull down resistor from the TTL S-pin to GND. EleksMaker have corrected it in their latest laser modules.
It must do the same in other programs, as it has nothing to do with software. Perhaps you haven't had the laser on when connecting with other software?