You don't need to worry about activity exit, you need to worry about page exit.

If you PageUp/Down to non-hidden pages within the activity, you should call the close at that time.

This means that when your dialog is shown, it should register a callback function.

function onPageExit() {
// you may run into issues calling close() directly. If you do, ping me
// via email as you may need to install your dialog as a member field in the
// current page.
// in your onShow, do something like CF.page()['___myDialog'] = this;
// then instead of close(), call
// this['___myDialog'].close();
// delete this['___myDialog'];

close();
this.onExit = null;
}
CF.page().onExit = onPageExit;