I have a 20" DELL LCD as my primary monitory and my Sharp 32" TV as secondary. I have them set up as separate X sessions. That results in a different desktop/panel icon setup for each display.
If I go to the secondary desktop (Sharp), go to a menu item, right click, and pick 'add to panel', it add the icon to the panel on the Sharp desktop. However, if I pick 'add to Desktop', it adds it to the desktop on the DELL (primary). Now, even though I have separate X sessions, I can just pick up the new icon on the DELL desk top and drag it across and drop it on to the Sharp desktop to get the desired result.
Bug or feature? I say bug!