I have had the same problem in Xubuntu as documented in
But now I am facing the same issue in Lubuntu as well. I can't find "Enable display compositing" in Lubuntu though.
Look at the image for the error message:
Ubuntu – How to enable composition for Lxde
compositingdockylxde
Related Solutions
enabling docky effects in xfce
By default, Docky should work with the built-in XFCE/Xubuntu compositor.
In 12.04 the compositor can be checked (if it is not already) via the window-manager tweaks
The image above shows Docky does not have the 3D effects, but by checking the options you'll have the 3D effects as per the next image:
If, for whatever reason the inbuilt compositor does not work for you, you'll need another compositor to help out Docky.
alternative method for both XFCE/LXDE
A good lightweight compositor is xcompmgr
xcompmgr 
As the image above shows, the inbuilt compositor is not running. xcompmgr is running, which gives Docky the 3D effects you require.
Use session and startup to run xcompmgr when you login.
Best Answer
Lubuntu, does not use Composition, you can a very basic compositing manager in the form of
xcompmgrjust make it auto start when you log in.sudo apt-get install xcompmgrwill Install it.