Hello,

A command created with

\NewDocumentCommand \foo { r\OPEN\CLOSE } { <code> }

seems to work fine, and grabs correctly its argument (even when there is 
nesting involved), but leaves OPEN at the beginning of the argument. The 
problem is in \__xparse_grab_D_aux:NNnN where you do:

  \token_if_eq_catcode:NNTF + #1
  {
  <snip>
  }
  {
    \exp_after:wN \l__xparse_fn_tl
    \token_to_str:N #1
  }

But of course \token_to_str:N #1 is several characters long. Suppose now 
that there was no nesting, i.e. we used \foo\OPEN hello\CLOSE.

Then \l__xparse_fn_tl goes to

  \tl_if_blank:oTF { \use_none:n ####1 }
    { \__xparse_add_arg:o { \use_none:n ####1 } }
    {
      \str_if_eq_x:nnTF
        { \exp_not:o { \use_none:n ####1 } }
        { { \exp_not:o { \use_ii:nnn ####1 \q_nil } } }
        { \__xparse_add_arg:o { \use_ii:nn ####1 } }
        { \__xparse_add_arg:o { \use_none:n ####1 } }
    }
  #3 \l__xparse_args_tl

where the blank test cannot succeed (####1 is \OPEN hello where \ is a 
letter so \use_none:n will only gobble that), and the \str_if_eq_x is 
also false, because

\use_none:n ####1 gives OPEN hello (all catcode 12)

and

\use_ii:nnn ####1 \q_nil gives OEN hello\q_nil (all catcode 12)

As a side note, I don't understand what this test is about: it can be 
true only when ####1 is two tokens, so only one token, and I didn't find 
a situation where \use_none:n didn't cut it (I tried loosing braces 
prevention, or loosing space prevention, I never made the test return 
true *and* the \use_none:n call be wrong). Of course here it doesn't 
matter, the many letters of the opening token make these fine mechanics 
go awry.

So we call \__xparse_add_arg:o { \use_none:n ####1 }, so
\__xparse_add_arg:n {OPEN hello} where it should have been 
\__xparse_add_arg:n {hello}

Of course, you could decide that control sequences don't count as tokens 
in this case and update the documentation (as for me, I was sometimes 
bitten[1] by the restriction on single tokens for delimited arguments, 
so you see towards where I'm leaning).

Sorry for the confuse message, it is far too late here for steady 
thoughts, and English is not my mother tongue

Cheers,

Julien "_FrnchFrgg_" Rivaud

[1] iirc, it was to make enumitem overlay-aware in beamer while 
respecting the already existing syntax. So
\begin{enumerate}[<overlay>][enumitem options], where of course any of 
them can be present (in that order only according to what beamer does 
for its enumerate). I had to resort to grabbing the first optional 
argument, check if it began with <, and if so remove the trailing > and 
grab another optional argument. A bit ugly, whereas

\NewDocumentEnvironment {enumerate} { d{[<}{>]} o } would have been 
beautifully clean.

P.S.: I also encountered a "quirk" in \NewDocumentEnvironment, in that 
the environment close is not align-safe (probably because of the 
retrieving of arguments, but I didn't check; or just because it is 
protected?): it starts a new row (and that's the least worry because 
then the closing stuff is in a box group and TeX frowns upon the 
\endgroup of \end). I didn't need closing args, so I just used 
\NewDocumentCommand.