Yeah, in my opinion that is not a bug because it seems to be working as designed and it does not break the game in any way. It is just very counter-intuitive. For me, a bug is something like when you try to split your army and suddenly get a "0k" ghost army with no regiments that cannot be disbanded because "there are hostile armies nearby" (even though there aren't any). Anyway, semantics aside, I agree with what you're saying. I also do think that you will keep all your PUs when switching to a different religion group.