This is a shot in the dark, but it may be that the current artboard you're setting the object to be 0x, 0y to is not itself aligned precisely to the pixel grid? The pixel grid goes on irrespective of the artboards, but the transform palette's location is relative to the artboard, so it's possible to have something that you set at 5x,5y relative to the artboard but to have it scooted onto the pixel grid.
Sometimes I'll have to create an object, set it to align to pixel grid, and then create an artboard off that to make sure everything is lined up to the global pixel grid.