Well, I don't know what it is. I don't have any trouble changing the color of the taskbar.
Here are my settings:
Windows and Buttons: Windows Classic style
Color Scheme: Windows Standard
Font Size: Normal
Again, this is Windows XP Professional SP2.
It works fine. I even went to the Themes tab, changed the Theme to Windows Classic and it made no difference. I was able to change the Taskbar color (the theme changed to "Modified Theme" when I changed the color of 3D Objects). Of course, if the Luna interface is in effect ("Windows XP" theme or "Windows XP style" windows & buttons), the Taskbar color isn't dictated by 3D Objects, Color 1 but rather one of the three Color Scheme settings.
Sorry most of you can't replicate this, but yeah, the Taskbar color changes for me at will.