Mira, buscando buscando hasta he encontrado por que:
http://java.sun.com/products/jfc/tsc...#swing_summary Cita: ...
Swing Painting Guidelines
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# Swing's implementation of paint() factors the call into 3 separate callbacks:
1. paintComponent()
2. paintBorder()
3. paintChildren()
Extensions of Swing components which wish to implement their own paint code should place this code within the scope of the paintComponent() method (not within paint()).
Ahora ya veo de donde viene. Paint() debiar ser del AWT y en Swing es paintComponent().
Hay que ver lo que se aprende

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