The applet drag and drop "Desktop Integration Warning" occurs only when the browser window is closed/changed.  This could be days after the applet was drug to the desktop.

Here is a use case that I think we should improve:
drag applet out
do stuff that buries the applet window
close the browser tab that the applet came from.
If I must be prompted now, I expect the dialog to come up right as I 
hit close.
Instead, "Desktop Integration Warning" is flashing behind the browser, 
and when I bring that dialog to the foreground, the Weather now applet 
is not visible if it is behind other windows.

Per Ken R's response to my email:
Please feel free to file an RFE under java/java_plugin/plugin2 about this.

To implement the functionality of creating desktop shortcuts for a 
dragged-out applet in the new Java Plug-In we only call the preexisting 
LocalInstallHandler code in Java Web Start. We could consider calling it 
earlier, when the applet is dragged to the desktop rather than when the 
user switches away from the web page, or at least we could make this an 
option controllable via an applet parameter. In the current code it was 
most natural to call the LocalInstallHandler when the web page was 
closed. Please feel free to file an RFE under java/java_plugin/plugin2 
about this.

See email thread in comments.
To address this RFE we should add a new applet parameter which the developer may specify to have the LocalInstallHandler called as soon as the applet is dragged out of the browser. Suggested parameter:

  <param name="eager_install" value="true">