I believed I've solved the issue. So I'll post it here for later people searching on the same problem.

I was using vwm2.dll, and that seems to be in conflict with either XP, or one of these other modules I used:

*NetLoadModule desktop2-2.0
*NetLoadModule popup2-2.1.1
*NetLoadModule systray2-2.0.1
*NetLoadModule label-1.99
*NetLoadModule tasks-0.92-b3

;*NetLoadModule ckvwm-1.40
*NetLoadModule RabidVWM.dll
;*NetLoadModule vwm2.dll
*NetLoadModule lsxcommand-1.8.5
*NetLoadModule lswchanger.dll

*NetLoadModule dynamp-0.50
*NetLoadModule lsfonts-0.1
*NetLoadModule lsbox-2.95
*NetLoadModule mzscript-0.8.6l
*NetLoadModule textedit-2.4l-13

As you can see, I switched to RabidVWM and the problem was solved.

Before doing so I tried adjusting all of the settings for vwm2.dll that I had, and I got it to shutdown normally once, but then the issue resumed - so I gave up. I didn't want to use RabidVWM at first because it would automatically switch desktops on me every time I moved a window too far in one direction or another...

I read it's docs and could not figure out what setting was doing that, so I set everything in the theme I had had that problem to to false if it was true, and true if it was false... Now I'm going through and seeing what I can switch back without causing that auto desktop change to resume...

Nothing in it's docs mentions such a 'feature', though I suspect it's connected to one of the focus things...