The "Pin window connection by default" only affects newly open windows, so if you did play with it after opening the windows, then it had no effect on them. The only way you can change the window behavior in that aspect, after it was open, is to manually pin (or unpin) that window.
If you'll check the option "Pin window connection by default", then your new windows will start as pinned, so they will not change their connection when you switch the main connection.
At least that's how it's documented and how works for me. Maybe you are doing something different, as you wrote that you "change DB connection" and not "change main DB connection". Each of those windows' connections is a DB connection, so from what you wrote I can't be sure which connection (and how) you are changing, so can't say why it changes connections of all the windows.
Last edited by Hilarion; 11/05/15 04:42 PM.