Hi Mopi,
This is a common misconception, as vim actually does not work that way. The main reason it *seems* that vim works like that and ViEmu works wrong is that, in vim, you can rarely switch buffers without going into normal mode.
On one hand, in vim, if you open two windows on different buffers, enter insert mode, and click the mouse to move to the other window, it stays in insert mode. But since you can't do a :bn or similar in insert mode, and you rarely use the mouse, it happens very infrequently.
On the other hand, given VS has it's own keybindings that are transparent to ViEmu (like Ctrl-Tab to go to the next buffer), and given that the mouse is used more often to move to other tabs or windows, it's more frequent that you expect to be in normal mode and find yourself in insert mode.
You are right in asking for different behavior though, given the circumstances. I think the right solution would be to add a hook to buffer changes and add a user setting to reset to normal mode in this case. This would seem more like vim and be more natural in many case.
This is pending for a future version, hopefully for ViEmu 3.0 where I plan to add scripting support and advanced scripting hooks.