As far as I know that's the way it is designed to work. Spot colors are tricky as a lot of the newer things in Illustrator (transparency, gaussian blur) convert spot to cmyk. Just the way it works. I personally wish they would either bring up a warning before saving, or not allow you to do it without manually converting to process. Perhaps Teri can shed some light on why things are the way they are?
Good to know feathering keeps the spot color spot. Would have thought that included in the "converting to process mode" group.
Another workaround used often is to create whatever blurred or transparent object you want in black, put it in front of a solid spot object and use the black as an opacity mask (details in help, or search this board).