When you create a modal or say a hidden sidebar that opens with a click interaction, you usually have to either put the close interaction on the "second click". If you want to close it by clicking anywhere outside of it (like most users would expect it to) you have to create a wrapper that lives outside of both the modal and the page content wrapper. You can then put the click interaction on that wrapper to close it.
Would be awesome though if you had the option to trigger an interaction by "click outside of element".
Oh and webflow is awesome! Keep it up