The general issue is on my list, and hopefully will make it to the top before v22 is released (it's about 3rd atm). The lack of contact IMO is deliberate (and probably correct) because your rogue does not carry (to other players) the identity of your civ, so he can hardly start diplomatic contacts! Now, because Civ4 doesn't have a staged concept of 'contact' that separates diplomatic access from other aspects, this also means you don't have contact for espionage purposes (which does seem wrong). However, because contact is all-or-nothing we can't chnage one without changing the other, so with current mechanics IMO it's not a bug.