This comes from forum posting http://css3pie.com/forum/viewtopic.php?f=3&t=34
If an element is appended to the DOM, and then given an id/class which causes it to match a style rule containing the PIE.htc behavior, then the behavior will not be picked up. If the id/class is added before appending to the DOM, then it works fine. See the testcase in the forum post.
This may just be a weakness of how IE attaches behaviors on the fly, but we should look into it to make sure it's not a PIE bug or something that can be worked around.
This seems to be fixed in the new release