Why my RAM runs at 800 MHz in 4 slots of my mac pro instead of 1066?
I believe this issue is caused by the fact that the Nehalem based Xeon processor you have is one of the "Triple Channel" variants, meaning that when you install the fourth stick of RAM you are forcing the memory into the non-channel diversified mode, similar to using 3 sticks of memory in a dual channel system.

This is supported by the fact that you're experiencing the issue only on the 4th stick as well as a fairly large amount of of the supporting documentation surrounding the MacPro and the processor itself.