I know this behavior, but I don't mind / don't care.
In general, I rarely look at overlay icons, I still have a Workbench and that's it.
It all depends on one point of view. For you, TortoiseHg's behavior is annoying because you want to rely on overlay icons.
The other extreme (was?) TortoiseSvn. When I last used it (about two years ago), it had a background resource process that constantly updated all the icons.
It was annoying for me at that time because it was noticeably slowing down my machine (yes, you could change it somewhere in the settings, but by default it was a resource-hogging).
No matter how they do it, someone will always complain :-)
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