TrayIcon ballon close button receives focus & it can be closed by pressing spacebar , when SystemTray or Notification is hidden & then visible.
Hidde the button
Step to Reproduce
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1) To reproduce the bug you have to do the following option for task bar. Set with 'Expand' and 'Show hide buttons' option to Hidden the task bar
2) Run the attached program. You will see frame & error ballon is displayed.
3) Click on any of the arrow buttons on the taskbar.so that taskbar is hidden.
4) Click on the arrow button on the taskbar to view the taskbar.
5) now press the ballon close button to close the ballon or click on the title of the ballon.
6) Keep on clicking on the ballon close button as you see the type ballons. Observe that ballon's close button receive button. Once you see the focus on the close button stop clicking on the close button. Press space bar to close the ballon. If you see the same then the bug is reproduce.

This can be assumed as a feature that allows the ballon to close.
This is reproduce from jdk6.0 , jdk6.0 update release & even in jdk7 also.
I have seen another strange behaviour in jdk7.0 . Ballon shifts it original position once the taskbar is hidden. Please observe in the attached screen shots. Also note the place where notification area is present.

step to reproduce
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1) Run the attached program. You will see the frame & icon added to the tray & a ballon.
2) Hide the taskbar by clicking any of the arrow button.( preferablly left side).
Observe that once the ballon is disappear & next ballon is shifted sightly left side.
This type of behaviour can be seen when notification is near to the arrow button.