Jeff, I do have same or similar experiences occasionally with WPF windows (while being shown as modal dialog), it could even happen with just one modal WFP dialog (not as your description of second dialog window opened from an modal dialog.
I assume you open both dialog windows with Application.ShowModalWindow(). I think the issue might be because of how ShowModalWindow() is implemented. In stand-alone WFP app, the main window can be set as the owner of the second window (modeless or modal). I suppose in Application.ShowModalWindow() set AutoCAD's main window as the dialog winodw's owner, if the first argument is not supplied.
So, I think you could try these 2 things to see if they help:
1. When showing second level dialog, supply the first dialog window as owner argument in the ShowModalWindow() method. Well, this may force you to have a window's reference in your first window's ViewModel, if you use MVVM pattern, which usually makes "pure MVVM embracers" feel annoyed.
2. You can try to simply show the second level dialog with Window.ShowDialog() (with or without owner argument supplied), instead of Application.ShowModalWindow(). That is, only do this with the dialog window opened on top of a dialog window. I have been using this approach for the rare ocassion when a second level of dialog is needed.