The problem here seems to be that the new UI Button (Unity 4.6) does not highlight until after I click. When I hover the mouse over the UI Button, it does not highlight (At least not until I click, then it starts to highlight requiring me to click again to actually click the button). This seems to be a problem with the window’s focus (e.g I’m not auto-focused and so have to click in the window to focus first). This problem appears in both builds and Editor play-mode.
I’m afraid this is a bug in new GUI system. In your position I would fall back to old GUI (they’ve surely have kept it for legacy reasons just like they have 2 animation systems) unless 3D guis are needed and report the bug using standard Unity bug reporting tool (in help menu I think).