When pressing Esc, cancelling an action should take priority over closing a window.

Yes, I have often died because of this minor detail. I commonly have the mini map open in most cases where this is a problem.

Pressing Escape is a lot more solid of a cancel than quickly moving. In fact, spells and skills that take a second or less to activate cannot even be canceled by moving. Being unable to cancel an action at a crucial time, or even a simple mistake, is something that detriments gameplay unneccessarily. Although minor, it's still there.

I'm sure preventing Diversion from hitting your Ether Feast is a lot more important than closing your mini-map. Hitting C and the space bar by habit once an enemy is dead -- only to find yourself on a track to luring nearby enemies -- should not be a fatal mistake from coincidentally having your Inventory open.

Pressing ESC should first cancel writing to the textbox, after which it should cancel any action, and finally close windows.

Or action first, then textbox and finally windows.

Annoyed me a plentyful of times when I wanted to abort writing to the chat, only to have my windows close. Ghurrrrrrrr.