Nope, not a bug. If you examine how MainMenu is added to a form, it is not done the same way as for example a Panel, by calling Form.Controls.Add, rather it is added to the form by assigning it to the Form.Menu property.
This is exactly the same behaviour as you have for a MainMenu in WinForms.
If you need this behaviour, then you might be able to use ContextMenu controls and then use ContextMenu.Show to show dynamic context menus. The MainMenu items, could then be constructed with Label controls on a FlowLayoutPanel, and then respond to a Click event by dynamically showing the correct ContextMenu.
You might also be able to use ToolBar control for the same purpose.
Hope this helps,