Looks like I've found a bug: pressing OK button in options form with kzdesktop stopped would cause access violation on TKZLazDesktopInterface.UpdateFromOptions.
I also think I've found Lazarus 1.1 problem:, SourceNotebook and ObjectInspectorDlg don't exist yet on MainIDE.OnShow which is why the docking fails. Same case with the form in design editor.
EDIT:
For the source editor, Martin gives a solution
here, you might want to try. I want to get some sleep now (00:44 A.M. here).
EDIT2:
Martin's solution does work, though only for source editor

procedure TKZLazDesktopInterface.SourceEditorCreate(TheOwner: TObject);
begin
if SourceNotebook <> Nil then
SetupLazForm(SourceNotebook, pnCodeEditor)
else
SaveLog('SourceNotebook on MainIDEFormShow is Nil');
end;
...
procedure TKZLazDesktopInterface.Execute;
begin
...
SourceEditorManagerIntf.RegisterChangeEvent(semWindowCreate,@SourceEditorCreate);
...
end;