Don't reset the mouse, that's actually bad behavior most of the time for windowed applications.

src/events/SDL_mouse.c

@@ -96,10 +96,17 @@ SDL_SetMouseFocus(SDL_Window * window)
         return;
     }
 
+    /* Actually, this ends up being a bad idea, because most operating
+       systems have an implicit grab when you press the mouse button down
+       so you can drag things out of the window and then get the mouse up
+       when it happens.  So, #if 0...
+    */
+#if 0
     if (mouse->focus && !window) {
         /* We won't get anymore mouse messages, so reset mouse state */
         SDL_ResetMouse();
     }
+#endif
 
     /* See if the current window has lost focus */
     if (mouse->focus) {