Hello,
I apologize for the delay in getting back to you. Unfortunately, this is currently working as intended. You need to include a time zone in the request, in the min and max fields. Then, the response will be in the same time zone you specified in the selector. Unfortunately, this service does not follow the conventions of the rest of the API.
Since this service has existed for a while, we're currently weighing the pros and cons of changing the service to match even with people having already used it for some time. For now, at least, you can specify the time zone in the request.
Regards,
Mike, AdWords API Team