You're right. This functionality is totally hosed.
I don't know how long it has been broken, since I don't save to PDF in this way.
Saving the entire document as a PDF seems to work fine. Save Selection as PDF is also hosed. However, save selection as PNG works well.
This was in issue with the various Mathematica 10 betas -- PDF rendering in general, not just copy as -- and appears to be still broken.
If you Print and then select PDF, then the plot is also messed up, but in a different way. I attached a sample.
My guess is that if you save the notebook as PDF, it uses the OS's PDF renderer, which works fine, and if you Print a PDF, it uses Mathematica's PDF renderer -- as does all the copy/paste options -- but that is only a guess.
Attachments: