Thanx for announcements, here's an update: This seems to be related to MouseCapture, as Guy suggests. The reason is that I also get the problem using a Button or Rectangle, which captures the mouse in the code.
Grid Thumb Border, , , .
, .
<Grid Width="200" Height="100" Background="Transparent"
MouseLeave="Border_MouseLeave">
<Button />
<Rectangle Width="40" Height="40" Fill="Violet"
HorizontalAlignment="Left" />
</Grid>
Rectangle, MouseLeave .
.