Here is a scenario :

Install Kernel JRE
Launch any application say  -Java Control Panel
(Control Panel Launches )
Click  Security Tab and click on Certificates Tab.
Now Additional Download Dialog will appear , due to some reason (slow network) downloading taking some time. He thought of canceling the download. Now pressing cancel will pop up a Kernel -Error dialog  , clicking ok on it will close the application.   ( There is no cancel on this Error dialog)

Problems I have faced and users may face -
I was working with  Ebugster (for updating a bug ) after updating the bug I clicked attach button, which started Additional Bundle progress dialog . I clicked cancel on it  as it was taking some time and clicked on Kernel Error dialog.   I lost all my changes and Ebugster got closed.

Need ask the users permission before closing -  
OK/ Cancel .
The confirmation dialog could read as:

title bar: Cancel - Additional Components
panel:Canceling the installation od additional components which the application needs may cause the application to exit. Are you sure you want to cancel the installation of additional components?
buttons: Yes [ No]

For appearance of the dialog see the attachment.