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When you execute an sql command, like insert in the editor and the command is not correct, then the error message is displayed in the error dialog window. So you have to read the message, remember it, click on OK button and then you can correct the command. The messege shouldn't be displayed in the error modal window, but in a part of the editor, where are displayed results. The main reason is, that you can then correct the command according the message, which you see.
Reassigned to new owner.
Tested with netbeans 7.0.1: When getting an error in response to an SQL no dialog is opened, but instead an output tab is created an the error is reported there.