Baking normal maps. A bug, or is it me?

Not a bug. If it were a bug, it would not work. In actuality it works fine given correct user input.

A usability issue, yes that it is.

Don’t forget Blender is a very complex application with many more things going on then in an app like Zbrush. Reality is that there are not enough resources available for Blender as an app to become a seamless experience when dealing with complex multi-object interactions. So in my opinion, errors of this nature while annoying are best treated as a learning experience.