It definitely feels like a bug to me, and would be the first thing I'd turn off. I mean, I get that from that one angle it looks flat -- but the sun moving with my camera would be way, way worse for me.
It depends on your perspective. If you internalize God mode, where you spin your disk world while leaving the sun in place, it's very intuitive.
I wonder if you rotate the camera more often than I do. I can go an entire play session of Anno without rotating the camera once, since it's a top down city builder.