This is based on the Look and Feel your app is using, and the limitations of Java's integration with the native OS layout components. The one in your screenshot looks like Nimbus.
Swing applications always custom-render the look and feel, and don't do a very good job of using the native OS widgets everywhere. The result is that you get weird looks that might be consistent the OS only some of the time, or only with certain layout components.
Welcome to developing cross-platform desktop apps in Java. :(