I have a control that is similar to a Popup or Menu. I want to display it and when the user clicks outside the bounds of the box, have it hide itself. I\'ve used Mouse.Cap
The problem is that the mouse handling you are talking about is outside the WPF eventing system and part of the operating system so we're really talking about two fairly different mouse message queues that interact well enough most of the time but in these edge case we see that the interoperability is not perfect.
You could try to generate Win32 mouse messages or send your own window a close message but all those approaches are hacks. Since popups and menus exhibit exactly the same symptoms you describe, it doesn't seem like there is going to be an easy to way to accomplish what you want as you've described it.
Instead, I suggest that you consider giving up the mouse capture when the mouse leaves the north client area of the window or some other heuristic such as a specified distance from the control. I know this is probably not ideal but it might be a satisfactory compromise if you want the close button to work badly enough.