Lubuntu – Compositing in Lubuntu

Compositing is provided by Compiz, which is a compositing window manager. What it means is explained below:

A compositing window manager is a component of a computer's graphical user interface that draws windows and their borders. It also controls how they display and interact with each other, and with the rest of the desktop environment. The main difference between a compositing window manager and other window managers is that instead of outputting to a common screen, programs each output first to a separate and independent buffer, or temporary location inside the computer, where they can be manipulated before they are shown.[1][2]

The window manager then processes and combines, or composites, output from these separate buffers onto a common desktop. The result is that the programs now behave as independent 2D or 3D objects.[1] Compositing allows for advanced visual effects, such as transparency, fading, scaling, duplicating, bending and contorting, shuffling, and redirecting applications. The addition of a virtual third dimension allows for features such as realistic shadows beneath windows, the appearance of distance and depth, live thumbnail versions of windows, and complex animations, to name just a few.[3][4] Because the programs draw to the off-screen buffer, all graphics are naturally double buffered and thus do not flicker as they are updated.

The most commonly-used compositing window managers include the Desktop Window Manager in Microsoft Windows, the Quartz Compositor in Mac OS X, and Compiz, Metacity and KWin for Linux, FreeBSD and OpenSolaris systems.

http://en.wikipedia.org/wiki/Compositing_window_manager

If you see a black border around docky, then compositing is not properly enabled. The warning you are getting is most likely a result of Docky starting before compositing kicks in.

See https://bugs.launchpad.net/docky/+bug/552273