Yes, this is a known issue. It has been submitted as a bug to Microsoft more than once, and they have closed it as Won't Fix or even By Design.
The gist is this: SQL Server applies deferred name resolution. That is, when you create a stored procedure that refers to a non-existing object - table, view, or in this case a sequence - you don't get any error. SQL Server optimistically thinks that the object will exist at run time. Same thing when you start the procedure and a plan is created.
Eventually, when you arrive at the statement with the spelling error, SQL Server raises an error. Tragically, you cannot catch these compile errors at run time in the same scope as they occur. You can catch them in outer scopes, for instance a calling stored procedure.
Overall, error handling in SQL Server is a big mess.