It is not a bug. Highlight compression is tone mapping. It really physically compresses highlights. You always need to render linear output, if you want to retain full HDR information for post processing. That means leaving highlight compression at default.
Of course, it would be possible to save output without tonemapping, but then users would save something completely different than what they see in framebuffer. So say exterior during sunny day could become just flat white burned surface without highlight compression.
That being said, there should be an option to save images without tonemapping in future...