Oh, you mean a sublayer which is the way AI calls 'em.
I don't bother with sublayers because it complicates my particular workflow unnecessarily.
But I checked and the behavior is exactly the same. I don't think it's a bug though. It looks like it was designed that way so you don't get the art confused, otherwise I don't think there would be that little negative stop sign showing (red circle with a slash)
Multiple artboards are a somewhat PITA though. Maybe I just have to get used to doing it their way instead of the way I think it should work.