Windows synthesizes a fake WM_MOUSEMOVE message sometimes. This in particular will happen on a focus change from one window to another. The window that gets the focus also gets the move message. Seeing this happen when you use Alt+Tab is an excellent lead that this is indeed the source of the message.
This is all entirely intentional. It ensures that the other train of messages triggered by WM_MOUSEMOVE will occur. In particular WM_NCHITTEST and WM_SETCURSOR. So that the correct mouse cursor shape is displayed. Otherwise affected in Winforms by the Control.Cursor and Application.UseWaitCursor properties.
You'll have to live with this, do make sure that this is never a problem.