It is loaded multiple times, but it is also unloaded properly each time.
I have now found out, that it starts way earlier though.
When I fire up the game, menu.scene is loaded and with it the window (window A) that provides the options (i.e. the buttons with the captions). When I click the exit button, another window (window B) is loaded to confirm the selection. Once window B is loaded, the caption of window A is pushed beneath the window. It doesn't matter, if window B is systemexclusive or not. Although, on a perculiar sidenote, when window B is not systemexclusive, it doesn't show up at all. The caption effect is still present though.