I didn't know that was possible. Very convenient, thanks for the tip!
What I'm finding is, if I manually save the song, even if I have nothing to save, the instrument remains docked. - Or the other way around. If I remove an instrument from the multidock, then close without saving, it will be in the multidock if I reopen the song.
I also found not all instruments have this feature. It has nothing to do with 32 or 64 bits, nor whether it is a Sonar or a 3rd party instrument. FM8 can be docked.
But never do the instruments disappear totally. However, if I disable floating, they seem to hide behind other windows. If the instrument window is floating (not in the dock), there is a pin in the top right-hand corner. Your issue may have something to do with this?