$ uname -a
SunOS rialto 5.10 Generic_127127-11 sun4u sparc SUNW,Sun-Fire-V245

$ java -version
java version "1.7.0-ea"
Java(TM) SE Runtime Environment (build 1.7.0-ea-b71)
Java HotSpot(TM) Server VM (build 16.0-b08, mixed mode)

$ cat Test.java
import java.awt.*;
public class Test {
    public static void main(String[] args) throws Exception {
        System.setSecurityManager(new SecurityManager());
        Dialog window = new Dialog((Frame)null);
    }
}

$ java Test
Exception in thread "main" java.security.AccessControlException: access denied ("java.lang.RuntimePermission" "accessClassInPackage.sun.awt")
        at java.security.AccessControlContext.checkPermission(AccessControlContext.java:345)
        at java.security.AccessController.checkPermission(AccessController.java:555)
        at java.lang.SecurityManager.checkPermission(SecurityManager.java:549)
        at java.lang.SecurityManager.checkPackageAccess(SecurityManager.java:1529)
        at sun.misc.Launcher$AppClassLoader.loadClass(Launcher.java:331)
        at java.lang.ClassLoader.loadClass(ClassLoader.java:332)
        at java.lang.Class.forName0(Native Method)
        at java.lang.Class.forName(Class.java:264)
        at java.awt.GraphicsEnvironment.getLocalGraphicsEnvironment(GraphicsEnvironment.java:83)
        at java.awt.Window.initGC(Window.java:422)
        at java.awt.Window.init(Window.java:442)
        at java.awt.Window.<init>(Window.java:393)
        at java.awt.Window.<init>(Window.java:547)
        at java.awt.Dialog.<init>(Dialog.java:664)
        at java.awt.Dialog.<init>(Dialog.java:408)
        at java.awt.Dialog.<init>(Dialog.java:331)
        at Test.main(Test.java:7)

If you run with jdk5 or jdk6 then SecurityException is not thrown.