Comment 4 for bug 581879

I can confirm this is a problem. The setting works if desktop effects are turned off (metacity?), but not if desktop effects are on (compiz?).

There doesn't seem to be a compiz gconf key for this setting under the compiz settings, while for metacity /apps/metacity/window_keybindings/toggle_on_all_workspaces - although compiz does support the functionality (Right click on window menu bar and choose "Always On Visible Workspace"