I don’t think it is a bug; you will need to enable Reflective GI caustics for this to work.
The logic is this: you have set the Treat glossy rays as GI rays option to Always. This means that V-Ray will consider glossy rays as though they are GI rays. So when they bounce off the sphere and hit the mirror, V-Ray will figure out that they are GI rays hitting a mirror. These will only be traced if you have Reflective GI caustics enabled.