Hello mrbean,
I am not seeing the same behavior that you describe. The execution pointer should always follow the steps in the currently executing sequence. If your MainSequence cleanup step group does not call any subsequences, then the execution pointer should not leave the MainSequence. Furthermore, when I do place a subsequence in my cleanup step group, the execution pointer still returns to the MainSequence from which the subsequence was called once it is finished executing. So I have been unable to reproduce this issue.
However, if you simply want to disable tracing into the Cleanup step group, you can go to Configure > Station Options and uncheck the "Allow Tracing into Setup/Cleanup" option. I hope that helps.
Regards,
Marty H.
National Instruments