Unloading issue still occurs after complete uninstall of VLC, including deleting profile files in Application Data.Here's an experiment. Try uninstalling VLC and removing your C:\Program Files\VideoLAN directory, then reinstall. Does it still occur? What about on a "fresh" install of XP does it still occur? what about safe mode? What about if you run it "skinned" does it still fail?
I can't say about fresh install of XP or safe mode (yet).
BUT! If I use the start menu shortcut called "VLC media player skinned" that installing VLC creates, then the unloading problem does not occur at all! (vlc.exe -Iskins is the command line switch the shortcut uses) When I run VLC "skinned", this is what happens: no tray icon is created regardless of settings, but playing audio/video files works normally, and closing VLC from the X button in the upper right corner of the interface causes VLC to immediately quit properly, and the vlc.exe process terminates immediately. So the unloading problem does not happen when running VLC in "skinned" mode. I can't say why, but I suppose that means the issue is in the default VLC "non-skinned" interface. Or maybe it's some Windows issue, because the skinned VLC does not use the normal Windows close, minimize and maximize buttons, the skin seems to include its own buttons for those functions and the buttons look very different to the normal Windows GUI. I guess the X button in the skinned VLC interface just does the equivalent of what CTRL+Q does in the normal VLC interface (CTRL+Q always leads to a clean exit from VLC, it's just the X button close that doesn't work right).