This is long-standing behavior.
Whenever I reply to a comment from the admin panel, my comment goes to the spam queue. However, if I add a comment from the public side it works just fine.
Now, obviously, my comments on my own blog are not spam. I'm wondering if this is really a bug within WP or if perhaps an anti-spam plugin is not being very intelligent.
I use Akismet, Bad Behavior, and Cookies for Comments. It can't be CFC because CFC prepends text to the user name and that's not happening here.