I have seen the bug since at least G&K, if not before. I just saw it today again when finishing my first Emperor victory; I even put two interceptors in the attacked city, plus one other in a nearby city within range, all set to intercept, and I received 8+ sorties of bombers that never got intercepted. Same bombers, same city, as soon as they tried to bomb a nearby unit, bam! to the bottom of the sea.
Something is obviously off with the code regarding city bombing; not game breaking, but annoying as hell.