The first thought comes to my mind is that you should check the
command used in WindowMaker dock
(right-click the icon, and choose inspector, I guess).
By default, when you drag an application into WindowMaker dock,
it will use the "command" property from xwindow appliction.
For GNUstep application, say AnApplication.app,
it is actually AnApplication.app/AnApplication.
And it try to execute as an unix command.
If that is the case, maybe you should change it to "openapp
AnApplication.app".
If not, I have no idea. :)