I noticed WMP10 seems to ignore RG adjustments to MP3 data streams. It plays mp3s at the original un-gained volume so they sound louder than in Winamp/Foobar. AFAIK unlike RG tags, MP3 files that have been permanently gained should sound equally loud in every player.

It happens to all MP3s regardless of the encoder used.
My MP3s were all adjusted with MP3Gain latest version. No spyware/virus on my system.

I don't think it's due to player misconfig, here are my configs when i did more testing:

WMP10 on WinXP SP2
-----------------------
mp3 playback via built-in FhG ACM Codec (l3codeca.acm)
all DSP and EQ disabled
playback volume set to max

Winamp/Foobar
--------------------
RG disabled for playback
all DSP and EQ disabled
playback volume set to max

Is this known bug with WMP? Anyone noticing the same thing?

Your players are probably using different output drivers which have different default volumes. WMP probably uses DirectSound or something. Even if they are all the same, their volume sliders don't necessarily represent the same volumes internally.

Ummm... AFAIK no version of WMP has ever supported external gain adjustments of any kind.

By "external gain", do you mean like the one irreversibly applied by MP3Gain?

If this were even possible, it would not have been an issue to revert the original ungained volume if the undo-tag is missing (which it is ...)