There has been a known bug in the LXDE panel plugin to hide all windows and show the desktop. Otherwise known as 'Show Desktop'. The bug entails conky and the way the plugin treats windows open. The plugin believe conky is a window, regardless of what type of internal configuration is set.

In order to have a work around for this issue. After reading through many posts. I came up with the hide/show info tool thats located in the panel. You can also find it in your 'system tools' menu. Basically it tells the window to either appear or disappear. How does this help with the bug?

If you hit the show desktop plugin in the menu bar, conky will surely go with it. To get it back just make sure to have any program or window showing and then click the hide/show info button. This workaround also comes in handy when in the Lubuntu-Netbook mode. Conky would normally be blocking and covering some of the screen while looking quite awful. Thankfully, you can just click the same hide/show info button to make it disappear.