Sad to say, it's not a bug. They won't continue to do what you queued up for them. You can, however, click on the little arrow in the upper right corner of their picture. That will give you several options -- besides bringing them to where your sim is, you can have them tidy up, tend the garden, socialize, or work on skills. In order to get the last option, you'll need the sim to have at least 1 point in the skill and a skill object on the lot. They should go to work or school if you're playing another sim away from the lot, but that doesn't always happen, so you need to check.
However, if you're in a public area in the same neighborhood as your house, the sims that are left behind will continue to do what you left them doing, and you can switch back to them without a loading screen.
I see Clay Mask beat me to it.