Hi,
When I double click to close the selection, the marquee vanishes instead of closing the selection. Yes, I double click on the starting point.
Here's what the manual proclaims (step 4):
Draw a straight-edged selection area
1 Select the Lasso tool’s Polygon Mode modifier in the options area of the Tools panel.
2 Click to set the starting point.
3 Position the pointer where you want the first line to end, and click. Continue setting end points for additional line segments.
4 To close the selection area, double-click.
It's perfectly normal not to see the closed selection as it becomes invisible.