Sorry this is as designed in DNG format, not a bug. It is the responsibility of any software that uses the embedded previews in DNG format to apply the orientation.
If Adobe changed this, then all the software that correctly applies the orientation would then break.
The reason for this design is I did not want to have re-render the embedded previews every time any software changes the orientation metadata. That would make rotating DNG files in Bridge or Lightroom very slow.
Please report this bug against any software that is not applying the orientation correctly to embedded previews in DNG format.