Turns out that it isn't a double-click which does it, per se.
Once the Network Security Policy is open, clicking on the Application Name header will collapse and expand all rules. The same is true for My Port Sets, for My Network Zones, and for Computer Security Policy.
By accident, my Network Security Window was positioned such that, when open, the Application Name header was aligned with the Computer Security Policy link in the Firewall tab, so that when I double-clicked the link, the first click open the window, and the second click landed on the header, causing the rules to collapse

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