Actually most civs UU's do. the only exceptions I can think of are the mounted archer units.
Anything with a straight Strength upgrade doesn't - both Greek UUs, for example.
That is actually a problem. One UU gives bonus right from the start trough out the game and the other UU (as you said it) in many cases forces you to wage war in order to take advantage of that current civs UU, otherwise it will be completely useless.
Those UUs tend to totally dominate their own era, to the point where the thing you carry forward is a bunch of extra cities and a bunch of extra experience. By doing it differently on different Civs, you get very different gameplay experiences across Civs. This is a *good* thing. Put it this way: If all UUs carried forward or if none did, which would you rather have: Jaguars, or Hoplites? Hoplites by a mile, right? Warriors aren't very useful already, and Hoplites are a stronger upgrade from Spearman than Jaguars are from Warriors, right? They'd have to nerf Hoplites badly to balance the two if they worked the same way.
I don't know if it was intentional or not, but I like it.