The behavior you detail is not a bug.
If you turn on the display of non-printing characters, you will see that in your first example the selection includes the Pilcrow that signifies the end of the paragraph. The formatting is contained in that Pilcrow and without it, the source formatting will not be respected.
If previously the source formatting appeared to be maintained in the second instance, it would be because the format of the destination was the same as that of the source.