Though possibly not a bug as it allows flexibility, the fact that for any lookup field you have to set it up multiple times … (e.g. in Main Grid, in Search, In Group By, etc) is a real PAIN and wastes a lot of time. (They are almost ALWAYS the same so Its just a massive waste of time!)
There should be a way to set it up once and copy it to the rest. If everything defaulted to the Main Grid and you had to change it by exception in the other areas would also be a good option.