Since upgrading my iPhone4, I'm having a similar issue with the Sony Dream Machine ICF-C1iPMK2. It charges fine, but I can no longer use the iPhone as an alarm clock, or use the controls on the clock to play music. If I go directly through the phone controls, music plays fine. However, now the alarm clock is just a glorified iPhone speaker. I can't use the iPhone as an alarm, nor the clock remote to play music.
I had an appointment at the genius bar today, and the prognosis is not good. Rolling back the iPhone OS, while possible, isn't the optimal solution. The dock connector was completely clean too. The only option they had was to replace the phone. I'm a little depressed. This is my first apple product, and both the phone and clock radio are less than 4 months old. This is definitely not a good introductory experience and will certainly dictate future purchases.