I tried out the beta today and immediately noticed this ridiculous behaviour.
The following video illustrates what happens when you try to minimized a "pinned" (similar to XP/Vista "Quicklaunch") application to the tray. This shows how utterly confusing this *common* Windows behaviour is going to become once Windows 7 comes out. Hopefully Microsoft will rethink the taskbar before releasing the OS.
Another side-issue related to this:
You cannot (easily) open multiple instances of a pinned application (unless it minimized to tray, ironically enough). The "pinned" icon will become the actual taskbar window, so clicking it afterwards will toggle minimize/maximize, not open a new instance. The only way to open a new instance is to right click and THEN click "Open". This will be extremely annoying for users who are used to opening multiple windows of IE, for instance (those who don't tab-browse). I'm not sure if Microsoft forgot that in Windows (unlike OSX), programs *can* be opened multiple times, and in fact it's quite common to do so.
You can read more about this at http://gnuu.org/2009/01/10/windows-7-taskbar-problem/