I know what you mean, you can give it a Z value that is not on the ground, but it does sit on the ground.
It's a bit strange but I don't really consider that a bug. Objects can have a Z value that is not really on the ground. They just try to position themselves on a ground surface that they find, starting from 2 metres above their Z value and down to zero altitude.
For objects on the ground the Z value is just a guide for how to search for the ground. This allows them to be positioned "on the ground" above or below a bridge, for example.