I can confirm the exact same thing is happening to me. When running VS2008 as an administrator it does not appear in the dock when in Unity mode. Additionally, every OS X window on my screen appears above it, even if I click some visible corner of it to bring it to the foreground.
Macbook Pro 15" Mid-2007 (3,1), 2.2GHz
OS X 10.6.2
Windows Vista Home Premium 32-bit
~1.5 GB RAM.
My workaround is to run the guest in a full screen on one Space, and keep my OS X stuff in another space, but this is far from ideal.