Weird window close behavior

I have a short swing program (see below) that dislpays a HelloWorld
frame. It compiles fine, but runtime behavior is a bit awkward. To
wit:

(1) I run the program. It shows a nice 100x100 empty panel. I move the
mouse directly over the CLOSE button (the top-right "X") WITHOUT
moving over the content pane at all. I click the close button. The
window closes.

(2) I run the program. It shows a nice 100x100 empty panel. I move the
mouse first over the content pane, THEN over the CLOSE button and
click it. The window does NOT close.

This is indeed weird behavior. I wonder if it has anything to do with
my system configuration. I am running:
OS: Ubuntu 6
Javac: gcj-4.2 (GCC) 4.3.2 (Ubuntu 4.2.3-2ubuntu6)
java: "1.5.0" gij (GNU libgcj) version 4.2.3 (Ubuntu 4.2.3-2ubuntu6)

Any ideas?

=== CODE FOLLOWS ===
import javax.swing.JFrame;

public class HelloWorldFrame {

public static void main(String args[]) {
new HelloWorldFrame();
}
HelloWorldFrame() {
JFrame frame = new JFrame();
frame.setDefaultCloseOperation(JFrame.EXIT_ON_CLOSE);
frame.setSize(100, 100);
frame.setVisible(true);
}
}
=== EOF ===
.