This happens on PCManFM 1.2.0. Steps to reproduce:
This triggers also another bug: After clicking on OK of the error window or on clicking of OK on the subwindow "Choose Application" a selection area appears in the directory even if the left mouse button is not pressed. Also I'm noticing on switching to another application (like Firefox to report this bug) while the error message was still showing causes a weird window order (from top to bottom): PCManFM (error window); Firefox; PCManFM (directory). But in my opinion this would be correct: Firefox; PCManFM (error window); PCManFM (directory).