This is not a bug because it’s not supported:
And there is a feature request thread.
https://forum.obsidian.md/t/render-latex-in-callouts-admonitions-in-live-preview/44642
You can render LaTeX inside callouts using my plugin Better Math in Callouts & Blockquotes, but I hope it will be soon supported by Obsidian itself and I can get rid of this feature from my plugin.