It doesn't happen with my Winamp!
It's either something to do with your videocard or mouse drivers, or maybe you need to modify your Winamp display options to counteract the issue.
Goto : Prefs -> Display:
Firstly, remove the checkmark next to : "Snap Winamp windows at x Pixels"
If this has no effect : Remove the checkmark next to : "Use Winamp styled cursors"
I doubt if any of the other options in there would effect toggling playlist windowshade mode.
The only other possible relevant setting to uncheck would be:
Main menu -> Options -> Easy Move (Ctrl + E)
Lynx...I remember someone asking this on the Skin Developers mailing list a long time ago....and the answer was, no they are not going to fix this because it would affect every skin in the Winamp.com database. At least it's a little bug