When you added a subgrid inside a form, there is also a "+" available so you can quickly create a record and link it to the record the subgrid is in. When you have quick create enabled for the related entity, the "+" on the subgrid will open the quick create form in an overlay without moving away from the opened record. after the new record is saved, you do not get the option to go the just created record or make another one like you do when you quick create a record through the "+" in the top bar of CRM.

When you quick create a record through the subgrid in the overlay, you also want to receive the option to open the created record or create a new one.