Plain and simple the WPF compositing engine and the Winforms (i.e. User32/GDI+) engine do things quite differently. Because of those differences (and also the fact that WPF has no control over whether a Winforms control is using DirectX or not), WPF controls and WinFormsHost can't exist in the same space....well they can but guess who's getting their Z-index sent to the back?
What's in your toolbelt? http://www.codeplex.com/Wiki/View.aspx?ProjectName=wpftoolbelt