Authentication dialog is shown second time even though its cancelled

Steps:
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1) Goto http://dispensable.east/BasicSecurity/cicerone/Cicerone.jnlp on browser
2) Browser prompts for username & password
3) Then java prompts to enter username and password
4) Click cancel

It again prompts to enter username and password. 
Instead of this, it should show launch error.

Attached screenshot..

Note: Username & Password information given in comments section.