I discovered that when using windows it will indeed turn to the
regular cursor when you leave GIMP's UI, but the "pick" functionality
still works. Click anywhere on the screen - although GIMP's window
will loose focus (in favour of the window you clicked on) the right
color would still be picked (at least on my windows XP SP3 32).
On linux it works perfectly - the GIMP window doesn't even loose the focus.
If colour picking still doesn't work (check that if you click out of
the window and go back to GIMP, if the foreground color was set to the
right color) you are welcome to open a bug report at the GIMP bugzilla
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