I tried your example in the post 10119 in GUI. You know... it works only as you have said - CR2 in FastStone looks as in DPP. But inside... JPG preview has even vertical (!) orientation. I extract it after embedding and it is vertical.
Moreover, I suppose FastStone can see thumbnails. As a result when I see CR2 in FastStone in the main window I can see thumbnails and preview. Here I can see the confusion with orientation of previews and thumbnails.
I think after rotate in DPP we can not use GUI to embed new preview to avoid confusion. We can use it only after synchronization of orientation tags as I wrote in the post 9830.