Although the result seems counterintuitive in some ways, I'd actually say this is not a bug - just a somewhat strange outcome of intended physics. In particular consider:
1. A glider will be pushed downwards if he encounters a wall that he cannot step up onto. (EDIT: ...but does not extend downwards far enough to turn him around)
2. A glider will step up if he encounters a wall he can step up onto.
The lemming that starts near the wall in your example initially exhibits the result of (1). Note that he is immediately below the slope - in other words, the pixel immediately to his right at all times (at least while underneath the terrain) is solid. Therefore, once there's a gap above it (thus meaning he can step up), this behavior triggers. Note that a walker encountering this setup would also be able to step up through the bar, which is a long-established and accepted behavior.
The other lemming is pretty much the same, except that he's a tad lower so doesn't encounter a solid pixel in front of him until he reaches that bar at the bottom. Beyond this it's pretty much the same.
I'll leave the topic open for discussion, but my judgement here at this stage is that there's no bug, just a somewhat unintuitive (but consistent) outcome.