Yes, the the operation (starting a command from a drawing, then switch to another drawing opened in AutoCAD for some sort of user interaction and then switch back to the drawing where the command is started) was OK prior to AutoCAD2014 (inclusive). AutoCAD 2015 has broken this behaviour due to removal of "FIBER". That is, when MdiActiveDocument in AutoCAD is switched, the currently executing command will be cancelled.
I ran into this issue when my office moved up to AutoCAD 2015, because we had some CAD apps doing similar things as you described: the CAD apps need to get some data from other drawing by asking user to selecting something in the other drawing.
There are 2 ways (at least 2 ways I tried) to deal with this:
1. Do not have the data source drawing (user is to select something from it) pre-opened in AutoCAD. Rather, you can open it during the command execution and then after user selecting close it.
2. Create multiple commands and chain them together by handling appropriate DocumentCollection/Document and pass the data between commands with static variables.
After I ran into this issue and update the apps we use, I thought I would write this issue in my blog but never found time to finish the article. Now that I saw your question, I thought there could be others who would also come across the same issue. So, I picked what I had left before in the past weekend. While I have not finished it due to my busy weekend activities, I should be able to post it shortly, maybe later today, or tomorrow. Of course you can explore further based on the above 2 tips, if you do not want to wait to see what I have done.