I am using XP and if I call the shutdown dialog all shortcuts disappear. If the dialog is aborted they all reappear. It's not really important but it keeps my theme from "perfection" ;-)
I tried shortcut2 and shortcut3.
that is a feature of LS that keeps LS from appearing on top of full screen windows and screensavers.
This will also happen if your shortcuts are layered windows, which I think will only happen with shortcuts if you use some module to make them use true alpha transparency.
Humm, I think everything desapear when calling the shutdown box (or the CTRL-ALT-DEL box)
The taskmanager does not change anything.
RabidCow: it has definetly something to do with layercut without it, it works (but the theme looks terrible)
maybe I have to change order of the shortcuts