This is because I first named milestone as 3.1.2, then renamed it to 3.2.0. Since milestone is different object managed separately from issue, the name changing is hard to be reflected in issue change log. This is also true for some other separately managed objects such as assignee. If the assignee changes the name, it will be reasonable NOT to record the name change in every assigned issues.

So I'd rather treating this as a limitation, instead of a bug.