Re: The reason *nix based OSes don't have a problem...
I actually disagree. There is more scope for this type of event handler to affect UNIX and Linux systems, at least as long as they run a GUI that uses X11.
Part of X11 allows a suitably written program with the correct permissions (and this is NOT superuser in this case, but the user's own credential set) to re-parent a window, or indeed to insert itself anywhere in the window hierarchy. As a result, all graphic and input events destined for a window go through said program before actually being sent to the application running the window.
This allows such things as all key-press events to be captured by said program, and mouse events to be used to trigger specific actions. This is by design, and is how an X11 Window Manager works, by inserting itself between the root window and all applications. This is also how programs like xscope work.
The credentials required are such things as Magic Cookies, which for systems where the client and server programs run on the same system are often stored in protected files in the user's home directory (there are other more sophisticated methods of protection [using such things as Kerberos and SSH tunnels with SSH agent], but cryptographically signed cookies are still the most common).
This means that if a user can be persuaded to run such a program on the machine with these credentials available, they are at risk of leaking significant amounts of information. There is no requirement to become a privileged user. This is why it is important on UNIX and Linux to keep a firm control of the programs that users are allowed to run. But this often comes down to being a social engineering attack, like so many other ways of bypassing security. If you can make a user run an arbitrary program, then all bets are off regarding the security of that user, regardless of which OS they are using.
Please note that unless the cookies are leaked, this mechanism will not allow one user on a multi-user system to access another user's session on the same machine. Not that this happens very much in these days of single user Linux systems.
I don't think that many people using UNIX or Linux nowadays actually understand the way that X11 authentication works any more, and that is why the icon.