i would say thats the intended behaviour. those links on the left are links to the options for that component - they are not part of the global configuration

I go confirm to @Open2logic. Every Time a open a Module starting at Dashboard i expect to see Dashboard after closing Module ... and every Time i'm surprised to see Module View.

True Brian but after clicking on Save does not stay in this view for options for the components, goes to the component itself.

I would have to agree that it makes sense to return to the previous page not where it assumes you may want to go, I.e. if you came from com_config to edit a component directly then great stay and reload, if not you should be returned to where you came from? I.e. the component

I repeat:
Go to System, Global configuration, in the left colukmn click in any component, SAVE and CLOSE and NOW, magic!
You are in the component, not in System, Global configuration.

In the Global configuration, i want to review the permissions of all the components for a new group of users, every time that i save and close, the system redirects me to the component.

Click Save instead of Save and Close?

Save and Close

Either do what sharkykz said and just use save or you might be able to do what you need from the advanced permissions option the user component.

Either way the system is working as intended even if it is not what you expect.