I'm not sure this is a bug. The unit can fortify. The difference between sleep and fortify, according to the manual, is that non-military units sleep and military units fortify (which gives them a defensive bonus). It doesn't seem that an embarked military unit will get a defensive bonus, but it will stay fortified until it receives an order. It seems to me that a sleep button for an embarked military unit would duplicate the functionality of the fortify button. I'm going to say "not a bug," but invite further discussion if someone disagrees.