Probably not a bug, as such, but maybe just something that's not been thought of yet.
An object that includes external files can be embedded in a patch, but the links to the external files used by the original standalone object then break, because they're now relative to the patch file, rather than the original object.
I'm not sure how/whether this can be fixed automatically, but it can cause problems, as the patch containing the embedded object will then not compile (the now-missing include causes a fatal error). Maybe there could be a warning when embedding the object, with an option to navigate to the required include to re-link it relative to the patch file.
I guess if the Includes pane of the Overview tab in the Object Editor worked, a working path could be entered. At the moment, this pane doesn't get populated from the object XML, even if includes are present, and you can't type in the Includes or Dependencies panes.
Incidentally, what is the suggested use of the Dependencies section of an object's XML definition?