When setting up a Custom Floating Menu, the "close after button press" is something set at the level of the floating menu itself, not on a per-button basis.
It would really increase the flexibility to allow individual buttons/items an override option so that the floating menu will either close or not close after button press.
For example – I have my main Custom Floating Menu set to close after button press, but there are a few functions for which I'd really like the Menu to not close, such as a button which you want to hit repeatedly a number of times (eg. incrementally change volume/etc, nudge commands etc.)
I would imaging the implementation of this to be along the lines of a selectable option when editing a menu item with 3 options:
-Default to menu setting
-Always close menu after pressing this button (regardless of menu setting)
-Never close menu after pressing this button (regardless of menu setting)
A separate but related feature suggestion is to have the menu-level setting of "close after button press" something that itself can be toggled when using the menu. That is, you can create a button with the behaviour/action of toggling the "close after button press" setting for the menu.