My information on Windows Vista comes from some things I happened to read on Wikipedia for an unrelated reason: http://en.wikipedia.org/wiki/Desktop_window_manager#Redirection
That page cites this blog (creepily similar to what I described, using one clientside buffer per X window, except when gdi+ddraw or virtual desktops are involved): http://blogs.msdn.com/greg_schechter/archive/2006/05/02/588934.aspx
If an application wants to draw to the screen where there is no Wine window (either the screen outside their window or with no window at all), I think we will have to accept that this is impossible as long as a compositing window manager is running. Such an application would have to be run in a virtual desktop.
I do not have a copy of Windows Vista around to test any of this.
I think I've seen the ddraw sample you refer to (with gdi and ddraw windows), but I seem to have misplaced it. Last I checked, the desktop hack breaks it, and I think it uses SetHWnd for a clipper on its primary surface.