I suppose that's normal, SAP should identify the code as a customer function, so it looks for an active project attached to some enhancement (*). Same behavior than for a CALL CUSTOMER FUNCTION, CALL CUSTOMER-SUBSCREEN in PBO logic, or getting instance from CL_EXITHANDLER...
Regards,
Raymond
(*) Some record with key enhancement/'C'/program+function code in table MODSAP or BAdI name/Program/Function Code in table BADI_MENU_ELEM.