Dragging the scrollbar and holding it for some time, for example when reading a page, seems to block XMLHttpRequests. A good example of this behaviour is Gmail: when reading a long email thread with the scrollbar continuously hold (i.e. in a dragging operation), Gmail will pop up a warning message about a slow connection because it was unable to update.
See also: bug 18782.
On a sidenode, WebKit doesn't continue loading/rendering a page when dragging the scrollbar either. It might be more generic bug than just XMLHttpRequests.