I observed this in bbWinMod (with bbSystembar and bbWinSkin).
I have WMP11 with the default skin running. At first, it didn't show up at all in the task bar. Then, after switching it to Skin mode, it did. The task was still there even after I changed back to normal view mode. However, clicking on the task didn't do anything at all in either mode unless I was on the desktop where WMP was running. So when I was on desktop 2 and clicked on the WMP task, it didn't switch to desktop 1 and to WMP.
This is the only program that's shown this problem so far.
Hm, turns out this only happens when there's no window open on the desktop I'm trying to switch from.
So maybe this is an issue with all bb versions and I just hadn't run into it yet because normally I have something open on every desktop or I am adjusting volume via right-click menu and not the player itself (damn you, unkamunka, for refusing to gift your shell with menu-volume control!