The subtle difference here is that you'd be bringing back a
string from the ResourceMap (no context, it's not actually a lookup resource, think of it purely as a property in a property file) and using that string to try and create a new File, which has no knowledge of the context that ResourceMap does.
If a myResourceMap.getFile() was provided then you'd be actually using the ResourceMap and its inherent context to get the file, but I'm guessing the API doesn't provide that.
Hmm, actually I've just realised this is all Swing stuff right? Let me send you to that forum so the relevant experts can cast an eye on it (my Open Source project developers would laugh if they saw me trying to give Swing advice ;p)