I finally found the problem, after 3 weeks...

The problem that you can see in the video was caused by the JPanel being opaque (I have no idea why it causes that problem).

To fix this annoying bug just set the JPanel as not opaque.

Best way to fix this

Override the isOpaque method to be sure that it will be always on false:

@Override
public boolean isOpaque() {
    return false;
}