While I certainly wouldn't call it a feature, I suspect it's not a bug, but “working as designed.” If you look through the documentation on anchored objects, you'll see that implicit in all of the custom position options is that the object is on the same page as the text, and I would bet that the underlying code works on that assumption. E.g.: “Anchored Position Reference Point: Specifies the location on the page (as defined by the X and Y Relative To options), to which you want to align the object.” (Emphasis mine.)
So if you've positioned the X co-ordinate so that your object is no longer on the same page as the text, ID would treat it the same way as if you'd positioned it on the pasteboard. It isn't “on the page.”
I'm no InDesign Object Model expert, so perhaps Harbs or someone else will chime in here and point out that I'm completely wrong (first time ever, of course… ahem), but I'm willing to bet that's the problem.