I got one again. It stayed on the side of the screen. The lack of interactivity caused my wife's Opera to hang after she tried to open some pdf file - I don't have a rule for Acrobat as I don't trust it.
Anyway - I killed EGUI process and the empty window closed. I re-open ESET and Acrobat could ask for connection again after it was restarted.
Other apps could ask for connection normally after ESET is restarted.