GraphicsDevice.setFullScreenWindow doesn't set JFrame to real fullscreen. It's always created with decorations below (or above) panels. 
On windows frame could be set to fullscreen without any hacks. 
Window manager doesn't matter.

Reproducible: Always
Is a regression: No
Workaround exists: Yes

Following code makes JFrame really fullscreen.
f.setUndecorated(true);
        f.setResizable(false);
        f.addFocusListener(new FocusListener() {

            @Override
            public void focusGained(FocusEvent arg0) {
                f.setAlwaysOnTop(true);
            }

            @Override
            public void focusLost(FocusEvent arg0) {
                f.setAlwaysOnTop(false);
            }
        });

I didn't find workaround for pure awt windows, they are still created under the panels.
Also, ugly demo attached. On windows it always works normally.

P.S. I've noticed a similar bug, but it was closed as won't fix (metacity bug).  But I've reproduced the same on KDE/kwin and other WM's.
I'm not sure whether it's a jdk or WM bug.