isn't that the point of it?
You use Show Desktop to show the Desktop sans any open windows/applications, so your dock will minimize along with anything else you have open and displayed.
If you can't find anything in the dock's options and settings, then I wonder if the software developer has not included this option. What do they say?
The Show Desktop option is in fact a .scf file with the following code;
I see no easy way to amend that code to ensure that any application will stay displayed when the code is invoked. But perhaps others here will have an idea.
I use the Show Desktop feature on my taskbar often, however this also minimizes my dock. I have a program called Rocket Dock that I would like to stay maximized when I click Show Desktop so I was wondering if there's a way to exclude this program from being minimized.