Same thing with the Switch Users button on the Log Off Computer dialog. I think it's because those buttons have the focus. I've never tested the theory by hitting Enter on the keyboard, so I could be wrong, and it's just another quirk of Windows. But if you look fast, when you click cancel, you'll see the Normal state of the button.  

Your diagnosis is right - you can force the buttons to lose the focus by clicking on the cancel button, but sliding the mouse off it before releasing the click...that shifts the focus to the cancel button and the other button then shows the "correct" unfocused state. I noticed this too when skinning and pondered it for a while wondering what I'd done wrong. It seems odd that MS haven't made Cancel the default button on those dialogues, but hey-ho...