Yes there should. And I would like to find out why there isn't.
Do any other dialogues not show up?
The other problem I have is that even if there isn't a dialogue, the whole image should not be blurred as the default (and you claim you haven't used it) has a circle at the middle of the image in focus. Quite curious.
Of course I never use the dialog because I have more control when I do this effect myself, and the steps are simple to do on your own. The only thing I can't do on my own easily is the aperture shape blurring.
One other question is the blurring actually applied like if you had told it to Blur the image? Or does it act like a dialog is open? I mean the blur command blurs the image then returns control so that you can apply other filters or use the tools. But while a dialog is open, PSP is very modular with its dialog boxes, you can't select other filters or tools. If it acts like it's just applying a blur then that's another concern. If it acts like a dialog is open then it's possible the dialog, for whatever reason, is simply off the screen.