I think I've used scheme implementations that have the same "feature", with less of an excuse.
It's a similar "failure of GC" if you create an object with two fields, like "obj={a: giant_value, b: 5}" then had your closure return obj.b. I bet the "a" slot would not be GC'd, even though there's no way to reach it.
If your mental model is that you're holding onto the lexical frame, it's a pretty much the same behavior.