Okay @mz94, I took two steps back and three steps forward. I've changed the display mechanism from Custom HTML to Progress Bar. Even though you are limited to one line of text, this is a fairly interesting solution. It does several of the things you requested. Most importantly, it seems to do precisely what you want with regard to focus. It also closes if you move the mouse more than 20 pixels away.
I'm not saying it's perfect, but it's a valid attempt, and it can be improved to meet a few more of your requirements if you like it so far.
Furthermore, even though it is limited to one line of text, I can improve it so that if it's more than one line of text, it can "roll" through the window like news flashes scroll leftwards on light-bulb signs.
Tooltip at Mouse Location Macro (v11.0.3)
