Turns out Nagios 3.1.2 and onward has started to use multiple i-frames to present pages to the browsers.
So, when you hit the F4 refresh key, apparently the leftmost i-frame is handling the refresh which pops you back to the Nagios home page.
So, looks like we all have to train ourselves to start opening new windows when drilling down to view a host, or service check etc. Then, if you hit refresh, the focus will be on the active window, and not the multi i-framed Nagios main window.
Alternatively, you can always (in Firefox) right click on the frame you want to refresh, then select "“This Frame ->”, and then select “Reload Frame”.