Well, it's a common bug for most trackers. The famous Fasttracker II has this bug at the beginning: E6x pattern loop should be placed on the same channel or it will begin at pattern 00. The advanced MilkyTracker didn't survived the bug, too.
FT2 also has an infamous bug that when you place E60 on a row other than the first, it will start on that row instead of beginning at the first.
Example: I placed an E60 at row 05 and an E62 at row 08. When I play the song, the song will start at row 05 instead of starting at row 00.
As you expected, MT didn't survived the bug, aswell.
However, if you play the song while you're on the pattern, the bug will not occur. But if you are on a different pattern, the pattern ends and the next pattern has the arrangement, the bug will occur.
It can be avoided by adding a D00 pattern break at the preceding pattern, on the last row.