I have the same issue too - it is quite annoying.
Another annoying thing is that when you have a VM running SL server in a window, clicking to activate the VM window registers a "<return>" keypress for some reason...so, if, in the virtual machine, there is a window running (such as software update), and the "Cancel" button has focus (such as happens on software update), if you focus to another app on the host machine, and then focus back to the VM window, the "<return>" will happen (canceling the software update, in this example).
What I've made it the habit of doing is that before I focus another app on my host machine, I click on the desktop in the guest, this makes the <return> go to the desktop instead (highlights one of the icons) which is OK, I guess...but it sure would be nice if it were fixed.
Oddly enough, I don't see the same issue when running leopard server...just snow leopard server.