In the Sequencer window, the play will always the sequencer in a loop.
In the transport bar, unless you've set loop recording, it play continuously, bar after bar, so it leaves the step sequencer behind. Depending on how you have set up the stop button it will either stop, or return to the 'now time'. If the 'Now Time' is in the middle of the sequencer play position, it will rewind to the middle of the pattern.