Ups, looks like I managed to reproduce the bug (not 100%)
If I do steps 1-2 number of times (3-4) instead of expansion one of the asymmetric CATEGORY members simply disappear 
(in some cases it's replaced by the member without link to external cell).
But on my computer it's not easy to reproduce...
Definitely a bug to be reported to SAP!
Workaround - refresh after changing category member in B3.
Vadim