I disagree. (Actually, I agree from a design stand point that seems correct but...)
I sometimes disagree with the path it gives me. After I set destination I often change my destination to a midway point to hit a certain location along the way.
Having it close before I can ever look at the path would annoy me. But, if it were implemented, all I would have to do is reopen in. Would only be a minor annoyance. (Might confuse newer players, having the map suddenly disappear.
I agree with Lord Bacon-o. I would not like to see the map automatically close. Just because I set a destination doesn't mean I'm necessarily done with the map.