I don't know of any bugs with it - the email address changes when I change the setting on the FBA Site Configuration screen. A couple of thoughts:
The reply to email address is saved per site, not site collection - so if you have multiple sub sites off of your site collection, you would have to access the FBA Site Configuration Screen for that specific site to change the email address. If the email
has never been saved for that site, it will grab the reply to email address from the web-application email settings (also accessible from central admin, but from the web applications page).