just tried it with a classic and the Winamp Modern skin and it moved with the rest of the windows correctly though i'm using a pre-release of my wrapper for SNESAmp (though that shouldn't have any effect on the functionality of the dialog).
it probably doesn't know the window you're trying to dock to or something like that. most plug-ins which have the means to dock to the other Winamp windows don't work correctly with modern skins and i wouldn't be surprised if the plug-in is just getting confused with the location of the AA window in the Bento situation.