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It looks a bit broken to me (not the only thing broken about new window creation, IMO).

Clicking on the dock icon with no windows open always creates a copy of the last window I had open, ignoring the preference setting. On the other hand, the New Window command obeys the preference setting for using last window settings or perspective, as it should.

Clicking on the dock icon won't create a new window if you've got no document windows open, but do have a Preferences window open. That also seems like a borderline bug to me. If clicking on the dock icon when you have no document windows open creates one, why shouldn't it create one in another case where you have no document windows open? My apologies if you hadn't previously noticed this behavior, and now it is bugging you :-)