FYI, i have the same issue with a slightly other case of use.
I define a folder tree, with in each folder a rule applying a category to the content imported in the space.
Each folder has a different category.
I've tried it with a true fresh install under linux and using HSQL.
I was wondering : is it only an interface bug, or do you recommend not to use automatic category assignation by rules or actions before you have investigated much further ?
I've checked one thing : after having imported a content in the folder, the category is automatically assigned to it, so i expect the feature to be limited to the interface.
Laurent.