Maybe as an client option? I personally wouldn't want extra click required (granted, my "use" of the Qt-client is mostly that I just test it, not playing the turns but just going forward number of turns with consecutive "Turn Done"s)
Client option is a good idea. Instead of View menu items, have them be entries in the Interface tab of the local options dlog. For the values - instead of a checkbox, need 3 options - "Off", "Auto fade", "Closeable".
For extra user interface goodness, allow esc key to close them when in "Closeable" mode.
qt client improvement request
2 things from the View menu - Show new turn info & Show combat detailed info - when they display they fade away before I'm done reading them. Better UI design is to let the user be in charge, have them work like the Demographics display does - put them in a box with a close (x) icon.