Not a bug - here's what's going on:
First, I changed your file a bit, see here:
http://www.lostmarble.com/misc/ex_version2.moho
If you want the particles to move with the particle layer, you have to turn off the "Free-floating" option in the particle layer. Unlike with regular group layers, particles don't move with their parent layer by default, they are free-floating. This is useful in most particle situations. For example, a magic wand with sparkles coming off of it - it would look best for the particles to stream along behind the motion of the wand, not be rigidly attached.
In your case, you want the particles to move with the particle layer, so you need to turn off the "Free-floating" option.
I made a couple other changes too: first, no big deal, but I made the particles a dark color to make it easier to see what's going on. The other thing I did was turn on "Rotate to face camera" for the particle itself (Layer 3). That way, as the whole thing spins around, you don't see the flat view of the particles, and they always look like little balls. This may or may not be what you want, but I assumed you wanted them to keep looking round the whole time.
