There is a reason for this - speed of performance.
When loading the track through certain methods (eg. the tag list or the >| next track button), you're "speed loading" the track to get it to play faster, and as a result, hot cues are not loaded automatically, regardless of preference.
When loading through a playlist or search, it will load normally and all hot cues will auto-load according to the preferences.
There are no plans to change this, sorry.