As per the title. OS: Vista64, LWJGL 2.8.1 (and all previous versions for I don't know how long) for what it's worth. Happens whether using native LWJGL display or AWT Frame/Canvas/setParent jobbie.
Calling setGrabbed(true) again works - it'd be nice to just call it every frame because it eventually just works - but unfortunately this resets the mouse coordinates every time so no mouse movement is possible.
I'm not sure what the best fix would be - probably making sure that implementation.grabMouse actually guarantees to work 100% of the time - but failing that, allowing setGrabbed(true) to be called repeatedly without screwing the mouse would work too.