Hi Tom, so it wasn't working over here it just looked like it with the object I happened to test with.

It doesn't seem like Photoshop CS4 or earlier is able to do that, I found a mention here that starting with CS5 there is a "Paste in place" function:
http://blogs.adobe.com/jnack/2010/04/paste_in_place_comes_to_photoshop_illustrator_cs5.html

- Michael