It should actually be easier to focus precisely a distant object than a near object. DoF decreases and the near object requires a more accurate focusing I would believe.

I think the result might be due to the focus shift of the lens with the stopping down of the diaphragm.
When testing the accuracy of the focusing system (alignment of focusing screen) I would only take pictures wide open: that way the focus shift with a different lens opening is taken out of the equation.