When the window with the Windows virtual machine gains focus running in the 'window' mode, the application with focus in Windows may change. The behavior is most consistent with the escape key being pressed. When focus is changed from Mac OS X application to Windows, Windows application will abort if 'Cancel' was highlighted in the dialog window.
This happens in case if 'Cancel' button has been highlighted before switching from Windows application to Mac application using CTRL+TAB combination.
Before switching from Windows application to Mac application working in 'Window' mode, click somewhere on the Windows desktop in order to remove focus from the 'Cancel' button and than switch to Mac.