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Probably already reported (I seem tor ecall seeing it somwehre) but I noticed while Playing Russia and changing from Muscowy to Russia I had several loans, they all just disappeared, while I kept the money.
This has been so since the start of EU2. I reported it here on the Forum when I encountered it in my first GC in EU2, playing as Aragon and becoming Spain, in january 2002 I believe it was.
I got the explanation that that was how it was.
For sure it can be mis-used and I agree with you that it should be changed. Perhaps it involves a lot of programming?