Interesting,
Version 1.20.522u Plus
Tabbed dock = "Always on top", and "Tabs always on top when docked" working
Non-tabbed dock = "Always on top" working
All programs including IE and WMP respect settings in OD+
Two machines:
Homebuilt desktop - XP Pro w/SP2, IE 6.0.2900.2180, WMP 10
Notebook - XP Home w/SP2, IE 6.0.2900.2180, WMP 10
BTW - I tested this using the default Windows XP theme, so those experiencing the issue may have found an incompatibility between OD+ and other customization programs.
You might try saving the ObjectDock theme > unload ObjectDock > clear the cache (instructions here http://corkyo.wincustomize.com/Articles.aspx?SID=5463&AID=82461) > reload ObjectDock (it will load with default settings) > load theme and test again.
Note - I do know that ObjectDock, CursorXP, and some other programs are seeing issues with the "Overlay" used by some programs (Games, Media Players, etc.) - and this is currently thought to be created by weaknesses in the Windows OS. Stardock is looking into this problem, and trying to find a way to work around the "flaw".