1. As I said before, it happens sometimes, not all the time. And I'm not sure, but I'll check if it happens on all of my PCs.
Sometimes after that comes another notification saying that the device has been inserted. It happens not only with this particular device, but also with regular USB pen drives.
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2. That's the notification that first appears when I plug in the Sony Bloggie camera (it's turned off).
If I put the mouse pointer over the USBSR icon in the system tray it shows (camera still off):
Then I turn on the camera, and that's what appears:
It's about PMB, a Sony Bloggie app (it's in Brazilian Portuguese, my mother tongue).
When I try to remove the camera normally:
So I remove these drives (F:, G:, and H:) manually. After that I try to remove the camera again normally and get the very same warning:
Then I click Yes to be done.