It's not a bug. It's just the way it is. In some places, have it with the VAT is mandatory, in some others, it's better without. So at one point we have to decide 
In any cases, that can easily be changed by editing the file "cart" of the view "checkout" via the menu Display->Views and changing the lines:
if(bccomp($taxes,0,5)==0){
echo $this->currencyHelper->format(@$this->shipping->shipping_price,$this->shipping->shipping_currency_id);
}else{
echo $this->currencyHelper->format(@$this->shipping->shipping_price_with_tax,$this->shipping->shipping_currency_id);
}
to:
echo $this->currencyHelper->format(@$this->shipping->shipping_price,$this->shipping->shipping_currency_id);