Yes, it's a bug.
When you merge a clip, the reference to poster frame is not anymore the timecode itself, but the timecode difference from the very beginning of the clip to the playhead position. If audio and video begin together, there's no problem. But the most common situation with merged clips is "audio begins first, video begins a few seconds later".
Here's a little but painful trick to override this FCP bug:
1. In the frame you want to be the poster frame, hit "O" (mark out).
2. Go to the first VIDEO frame of the clip and hit "I" (mark in).
3. Annotate the duration shown in the upper left box of the viewer (i.e., the distance form I to O).
4. Go home, I mean, to the first AUDIO frame of the clip.
5. Hit "+", then the duration you have annotated, then "Return".
6. Now, use the shortcut (not so short, I know!) Ctrl-P to set the poster frame.
Voilá! The poster frame is set to the one you have chosen in step 1.
It works. But probably you'll give up setting poster frames after the second or third clip. Next time, you may want to use subclips instead of merged clips. In subclips, audio and video can be easily set to begin together, so this bug doesn't show. (In fact, FCP7 has a new bug on working with subclips, but that's another story...)
Good luck.