I can confirm that this does not work properly. The same thing happens here. There is an SPR for this:
SPR 494696 'If dispatch action “check out” is triggered after state change in task pane, file is still shown read only in SolidWorks.'
You should call your VAR and have your company attached to this SPR.
Thanks for your reply! I've already received confirmation that this is indeed a known bug, so let's hope it'll be fixed at some point.