Bugs should be reported in Report an Issue (see tab at top of screen). That's where Filemaker Techs look for them and they will, if needed ask you any questions to help them replicate your issue.
There is a confirmed bug report similar to what you describe, but oddly, they seemed to experience the opposite of what you report here, but maybe I just didn't fully understand the original report:
For More Information see: VALUE LISTS NOT WORKING - when show values only from second field is selected
This is one of many acknowledged bugs that can be found in the Known Bug List thread here in the Report an Issue section of the forum.
It can also be downloaded as a database file from: https://www.dropbox.com/s/jt09b82i0xijbu3/FMP%20Bugs.zip
First thanks for your answer.
From what said Chris from filemaker support over the phone "It is definitely not a bug, I used it yesterday with no problem".
I guess I would not expect it to be :)