PowerPoint Slides.InsertFromFile method adds a Presentation to the Presentations collection that can't be closed

I'm using the Slides.InsertFromFile method to inserts slides from a file into the active presentation and it causes a new Presentation object to be added to the Presentations collection (without a window) which then needs to be closed. The problem is that the Close method is not working at run time but it does in the Immediate window. Here's a test macro:

Sub TestInsertFromFile()
  Dim lPres As Long
  Const sFile = "C:\Temp\myPresentation.pptx"
  
  lPres = Presentations.count
  
  Debug.Print "Open presentations before : " & lPres
  ActivePresentation.Slides.InsertFromFile sFile, 1, 2, 2
  Debug.Print "Open presentations after : " & Presentations.count
  
  ' If there's more open presentations than before, close the last one in the collection
  If Presentations.count > lPres Then
    Debug.Print "Trying to close presentation " & Presentations.count
    Presentations(Presentations.count).Close
    Debug.Print "Open Presentations : " & Presentations.count
  End If
End Sub

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The output is this:

Open presentations before : 1
Open presentations after : 2
Trying to close presentation 2
Open Presentations : 2

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So the Close method failed to close the second presentation (and doesn't raise any error) but the following works when run in the Immediate window after running the above macro:

Presentations(2).Close

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Why won't the presentation close at run time?