It works like this since ever. Actually, it depends, how do you open the Key Editor of the new MIDI Part. If you click just once to the MIDI Part in the Project window, the view remains. If you double-click (so you actually open a new window), the view changes to the default, what is the one, you described.
The workaround is to hit the [F] Key Command twice. Then you disable/enable the Auto-Scroll, which forces the window to show the position of the Cursor (playhead).