Well, aMule currently uses different tray code for wxWidgets-2.4.2 and 2.5.*. For 2.5.* versions, tray code is TESTING, and is fully wx based. So, tray icon in a separate window is most likely a wx bug (actually, this is the case for me too), and the speed-bar also has to do something with wx - I don't know much about it, Kry was the one who created it.
As far as I know, the Preferences->Systray Integration has no effect on the new tray - though "No systray..." should work, it needs to be checked for.