Screen exits when the command it is running finishes.
In your first example you don't specify a command, so your default shell will be started.
In your second example, you don't specify a shell so your command is run directly. When that command receives the Ctrl-C, it will quit and so the screen will close.
Depending on what you want to achieve, you can use the zombie, defzombie or onerror options to screen to make the window stick around after the command has quit.
Alternatively, this answer contains a suggestion for keeping a bash shell open after an initial script terminates.