I thought I had posted this....however...when I reopen a Project, all the synth windows are floating. This is even though they were docked when I saved and closed the session. This can be a nuisance if you have many "docked" synths. BUT in addition to this, quite often the synths cannot be seen at all. Asking to see them by double-clicking the button in the track greys the button as if the synth pain has been called: but no synth is visible. It appears to be somewhere off-window.

Save the layout as a screenset before saving the project (although I don't expect it to work properly either ).
In my project template, I display Native Instruments Kontakt 4 & 5 side by side (because I use them the most). And I X-rayed them completely by pressing Shift+X (so that they're invisible) before saving the layout as a screenset and saving the projct itself. Every time I open the project template, and also when I switch back to the screenset from some other screenset, I see both Kontakts fully displayed (not X-rayed). This behavior didn't change even after clean reinstall of OS (Win7).  

Well I tried various things like locking the screenset, changing screensets and then coming back (which is supposed to save screensets) etc. But whatever I do, the windows pop out of dock and float, whenever I leave that screenset. I also reckon the ability to select a screenset by hitting ONE NUMBER is INSANE. When I hit a number by accident recently, I wondered what on earth had happened. Can't there are least be a Shft # key combo?

I hope Cakewalk will fix this bug soon (I think it's a bug). But, for me, docking plugins to MultiDock was not really beneficial because most of the plugins I use often are TOO LARGE to be fully displayed there (Kontakt, EAReverb, Steven Slate Drums, etc.).

As for the default shortcut keys for changing screensets, I actually find them very convenient. Because I like them so much, I even create similar keybindings in another DAW. If you don't like them, you can just remove them via Preferences > Customization > Keyboard Shortcuts.