Yeah you're right.... by the way you don't need Java to run the uploader. Anyway I think the reason is that IE9 insists on using the html4 uploader, which apparently can't send extra headers.
I tested it both locally and externally and it worked completely in Firefox, Safari, and Chrome, though IE8 and IE9 never worked.
Unforunately I really don't know what to do about this so I might just block the public uploader for Internet Explorer...
EDIT: What I'm actually gonna do is get rid of the html4 runtime for plupload, and replace it with a silverlight runtime. This way chrome, firefox, safari, etc. will continue to use HTML5 but IE8 and IE9 will use the microsoft silverlight plugin instead. The only feature silverlight drops from HTML5 is the drag and drop ability. But it should show filesize, progress, allow multiple files, etc.
-- See the new 2.0.1 release which should fix the problem