Hi Igor,

No, there isn't a bug in DPP. Now, short insight -I hope my english won't let me down :-)

Image file directly from (EOS) camera, contains two image orientation tags inside Exif: one is inside IFD0 section (as expected by most image tools), another is inside Makernotes section. It is worth to note, that not neccessary both contain the same value (depends on camera setting)
Now, if you rotate CR2 image inside DPP (and save), both existing orientation tags remain unchanged -and a third one is added into CanonVRD section (note: CanonVRD section doesn't exist in original CR2 file -it is added by DPP).
So far: no matter what camera (orientation) settings you used and regardless of rotations applied inside DPP, actual image orientation is allways the same: horizontal.
As we (can) deal with three different orientation tags (and values), which one shoud be used by default?
1. By most software, "classic" Exif Orientation tag is used (if at all).
2. Tag inside Makernotes tells how camera really was oriented (regardless of settings).
3. Tag inside CanonVRD just tells (to DPP only!), that you've "changed your mind" later (about orientation).

I've tried to make (automated) embedding images as simple as possible. But if you change orientation (later) inside DPP... -no software (except DPP) cares about that. Also keep in mind, that DPP doesn't use/show embedded image at all.
My advice (finally): don't rotate inside DPP (use camera setting). If you really need to rotate image afterwards, then embedding images in batch (using GUI) is very difficult as it requires additional physical (manual) rotation of each image (before embedding) and probably changing IFD0:Orientation tag value as well. But this can lead to things you've allready observed: DPP shows correct orientation but no other software does (and/or opposite).

I hope this was of some help...
Greetings,
Bogdan