Wow, that's a strange one!
At a guess, I'd say Photoshop is doing something weird with that particular window. Either it's not a standard window at all, and Photoshop is drawing directly onto the screen and simulating the look of a window, or Photoshop has created the window in an unusual way.
Does it happen with any other palettes? Does it happen if you undock the Actions and History palette from each other?
