My understanding is that this is the intended behavior, in order to allow working with multiple screens (and especially with tablets like Wacom Cyntique). The end user should be able to (for example) keep on the monitor screen the various panels with tools, palettes, etc., and the drawing area on the tablet-screen, so that he/she can focus on drawing on the tablet, and use the monitor for the previewing panel, palettes, etc.
This kind of feature comes with a price, which is what you’re experiencing — i.e. disjointed windows, independent of each other. To compensate this. PM NG offers menus and shortcuts to quickly arrange panels, and (if I remember correctly) even to store different windows positions configurations, which can then be restored according to need (haven’t used that for a while, so my memory might not be accurate).
I’m afraid there’s no simple way to have this type of flexibility without its side-effects. I also noticed that if you minimize PM NG, many windows remain floating by themselves on the screen.
I’m not sure if it’s possible to change this behavior without enforcing the rigidity that would prevent working with multiple screens.