Here is what I suspect happened (and if it is true, it seems like a bug): The client probably listens to transactions even before they enter any block, and shows them as "unconfirmed" with 0 confirmations. But when you close the client and reopen it, you don't see them any more, until they actually enter a block and your client downloads that block. This is sort of all right, since there is one block about every 10 minutes or so -- except the client probably shouldn't display any unconfirmed transactions at all until it has downloaded all blocks. I read somewhere that the next client version will have a better status indicator, which might solve this problem as well.
This sounds like a reasonable explanation. But still i can understand the worries of bitbadger - this is definitely not nice for a first impression. At least i can say on my side the first impression was fine, no problems whatsoever so far. Maybe this issue should be forwarded to developers for further investigation?