This is reproducible starting jdk6 on Windows platforms
Run the below testcase. It shows a Window with a button in it. On clicking the button, it shows a modal Dialog. On clicking a button on the modal dialog, a Frame is shown. Since the modal dialog is visible, Frame will be blocked. On clicking a 'Close' button on modal dialog, it closes. Now, even though there's a Frame visible, it doesn't get focus.

import java.awt.*;
import java.awt.event.*;

public class FocusTest {
    
    private static Dialog d;
    private static Frame f;
    
    public static void main(String[] args) {
        f = new Frame();
        f.setLayout(new FlowLayout());
        f.add(new Button("Click Me"));
        f.setSize(150, 150);
        f.setLocation(200, 200);
        
        d = new Dialog(new Frame());
        d.setLayout(new FlowLayout());
        Button db = new Button("Open Frame");
        db.addActionListener(new ActionListener() {
            public void actionPerformed(ActionEvent event) {
                f.setVisible(true);
            }
        });
        d.add(db);
        Button dClose = new Button("Close");
        dClose.addActionListener(new ActionListener() {
            public void actionPerformed(ActionEvent event) {
                d.dispose();
            }
        });
        d.add(dClose);
        d.setModal(true);
        d.setSize(150, 150);
        d.setLocation(0, 200);

        Window w = new Window(new Frame());
        w.setSize(150, 150);
        Button wb = new Button("Open Dialog");
        wb.addActionListener(new ActionListener() {
            public void actionPerformed(ActionEvent event) {
                d.setVisible(true);
            }
        });
        w.setLayout(new FlowLayout());
        w.add(wb);
        w.setVisible(true);
    }
}