This is not a bug. However, it is a limitation. Let me try to explain. Grasshopper has had a simplified set of dimension components for a long time. David R wrote these components before we had wrapped up any of the AnnotationStyle classes that exist in Rhino. To make this work, he wrote his own drawing code to display the dimensions so they are close to what you would see when you bake the dimension. However, what actually happens when you bake it is that it creates a new linear dimension (in this instance) and assigns the current annotation style in the document to that dimension. This is why the text may look different when you bake it. It’s getting the current annotation style assigned to it, rather than whatever simplified settings are exposed in that component.
Now, in Rhino 8 we have recently wrapped up the native annotation styles as well as all of the other native annotation types like linear dimension, angular dimension, radial dimension, leaders, text entities, etc… So, if you use these newer components, you can assign a specific annotation style from the document (or create your own in GH) and the annotation should be displayed exactly as it does when it’s baked. You can read more about these new components here: Rhino 8 Feature: Annotations and Hatches in GH1