It was initially considered to allow using the per-pixel transparency mode for undecorated windows only, because it was unclear what to do with the natively-drawn window decorations. Especially on MS Windows platform where the decorations stop reacting on mouse clicks but still are drawn in some cases once the window enters the non-opaque mode.
For some reason the code checking for this got lost, and curretnly the com.sun.awt.AWTUtilities.setWindowOpaque() method does not throw an exception in case the windod is decorated, but it should do so.
If the user simply forgets to call the setUndecorated(true) method, he easily gets non-functional decorations on MS Windows Vista. The visual artifact is considered quite severe.
The bug is reported here: http://forums.java.net/jive/thread.jspa?threadID=43881&tstart=0