It's happening to me on Linux as well. I never even noticed that it does not happen on Windows. That's why I usually hit Alt+F4 to close Wesnoth and hit its launcher to start it again immediately, and that is almost as fast as hitting 'OK' and then F5.
A workaround should be running it on Wine when using Linux, Wesnoth runs on Wine as fast as on Windows (but it seems to run slower on Windows than on Linux, but it's just my experience or impression).
Legend of the Invincibles
- single player campaign, trying to be an expansion to regular Wesnoth, where units can advance indefinitely, gear becomes an important factor and tons of new abilities increase the game's variety.