Hello,
Yes, linked document are supported when it comes to content staging. Therefore I suspect it to be a bug.
What version of Kentico
CMS are you running? Any hotfixes?
Actually, there were certain issues with linked documents staging in version 5.5:
v 5.5 hotfixes. Focus on 5.5.27 hotfix.
Please try to apply the latest hotfix if this is your case.
Best regards
Ondrej Vasil