Top level components (like Frame, JFrame, Window, JWindow, Dialog, JDialog, even JApplet) are a special case... they have to have a native peer (i.e. Each JFrame has a reference to a Windows (or Motif, or Mac, etc.) frame that it is drawn onto.), and they cannot be drawn inside other components (i.e. You can't put a JFrame inside another JFrame... JApplet's the special case of special cases here, because it can.) I would assume that Sun did this because they already had the code in place for a Frame, Applet, Window or Dialog to get a reference to a native peer and didn't want to have to duplicate that for JFrame, JApplet, JWindow, and JDialog.
However, to get around the problem of top level components not being JComponents, all the new Swing top level components have a root pane that does extend JComponent... which is the reason that you can't add JComponents directly to the JFrame, etc. and have to add it to the content pane (which is inside the layered pane, which is inside the root pane).
Write once, run anywhere, because there's nowhere to hide! - /. A.C.