Since PPRo v2, we find that video playback from the timeline stops if we change focus to another application. This is very annoying if you're trying to multitask. Can someone say why they do this or if it can be set (in CS4)?

To the best of my knowledge, Premier has always done this going all the way back to Premier 1.0. I mean the original Premier 1.0, not Premier Pro. I have no insight as to why the designers made it this way, but I'd guess it's a legacy decision going back to the early days when playing and editing video was a very tall order on a PC.

As far as I know, it can't be changed.

PremPro 1.5 allowed us to multitask.

It still allows you to multitask, but what is the value added of watching a playback while you are multitasking? You either pay attention to one or to the other. No sense in having both running, apart from the system requirements, technical difficulties, response times and the like.

I smoke and I drink, but never at the same time. My cigar gets all wet when I try.

Well if you have two monitors it's extremely useful, one doesn't need to be fixated on the screen to be using the product effectively in some situations.