http://bugs.winehq.org/show_bug.cgi?id=13503
--- Comment #5 from Arkadiusz Piekarz piekarzarkadiusz@gmail.com 2008-10-17 06:06:42 --- This bug is fixed in Wine 1.1.6.
It's best to use Photoshop with enabled "Allow the window manager to control the windows" in Winecfg, but the messages appear properly now, not under the window, no matter what option you'll check.
Tested with Metacity, Ubuntu 8.04, 177.80 nvidia drivers.