How to stop STM32F0 when stopping debug session (Keil) ?

I have STM32F4xx and F072xx boards, both with SEGGER 6-pin connector and ST-LINKv2.

Using the Keil IDE.

When the debugger disconnects from F4, it stops running any code. But when disconnecting from the F0, it continues running. I want it to halt, like the F4. Cannot find anything in the debugger settings. What is missing?

Thanks,

-- pa