You are not alone.
I think it is a long-standing defect in Pro/E, errr, intended functionality.
The taskbar click causes Windows to send a message to an application that a window should be active, but it is up to the application to follow through. Similar to when one elects to open a file via Windchill, but still has to Activate the window. Or when you close a window and Pro/E does not revert to the previous window, but the latest one on the stack.
Maybe these are fixed in Creo??
