I installed the real SATA drivers and we can eject those. Some use that BIOS IDE emulation but I liked the native SATA drivers.
http://www.tech-recipes.com/rx/1794/sata_drives_safely_remove_hardware_notification notes how/what to change if you want.
Not a bug.
OK I just had to format and reinstall XP (SP3 installed). When I did this my SATA HD and DVD writer were showing up in the lower right hand corner like a USB drive does. Click on the symbol and it asks do you wish to safely remove these 2 drives like a USB. What happened and how do I fix it. Thanks.