Actually, it's both a bug,and an inconvenience. Every program uses their own coordinate system, this is nothing new. But when the conversations are made, the new imported asset should have a rotation of 0,0,0. Unity's fbx import will convert it, but have non zero values in the rotation fields, with no way to set the default rotation to identity (0,0,0). This causes nothing but problems. Especially when writing scripts to instantiate objects and have them facing the right direction. It has to be relative to the mystery rotations that came in on import.
[ Daaark ] Getting the correct orientation is not a bug nor an inconvenience. It's just the coord. system they use ( common y-up system ). The problem lies rather with the authoring tools [ z-up for 3ds max for example :| ]. Nothing some decent planning won't take care of.
If Unity wanted to do it right, they'd actually rotate the data on import instead of just adding them to the model's rotation data. If I can edit normals, tangents, lightmap UVs, and everything else in the object inspector, I should be able to fix the default rotation too.