It does not sound like a bug to me, but rather a limitation. But quite a serious limitation, since these queries are showstopper for an migration to Azure SQL Database.
A good place to suggest bugs and suggestions is https://feedback.azure.com/forums/908035-sql-server
Although, it occurs to me that Azure Data Studio has a github repo where you can submit issue. Maybe there is one for the extension as well.
I should add that I have not used this tool myself.