(Sorry, but) That's most likely a user-error, not a bug. The player needs to "Enable Supply Shipments" in the "Choose your Civ" screen, before starting the game.
If that box isn't checked, the Supplies can't be redeemed, and then the only way to avoid paying unit-maintenance on them (if they're really not maintenance-free?), is to disband them -- which, if you do it in a town which is producing a normal building or a unit (but not a GW or SW), should at least put some shields into the production-box.