If you have selected an enemiy unit such that the crossed-swords icon displays and then change turns and get a pop-up of some sort (like a technology advancement), then the cursor will remain the crossed-swords icon even in the menus.
Note: I was unable to get a screenshot of this. Jing seems to remove the cursor when it takes a screenshot. Nonetheless, I did not have much trouble reproducing this, so it should not be too hard to see.
