Hi David,
I too can confirm this is a issue. I have sit for hours and try and figure out what the problem can be.
It does not save any custom taxonomy fields with the submitted posts. Also I notice that it creates duplicate posts. I have got to a point where it saves the custom taxonomy id with the submitted form under gravity forms “entries”, but it does not update the term values on the custom post type itself.
I tested this with all plugins disabled and on the standard WordPress Twentyfifteen theme with the same results.
I then tested this with a normal page and its working perfectly.
Do you have a estimate date or time when this will be fixed? It is quite urgent 🙂
Thank You.