I'm not sure whether this is 'by design or not', and don't know myself whether eulers rotation theorem explains or not, that this is how it should be.
(nice links hiho. Can't watch them on my connection, but definately will when i get a chance).
hf003. I followed your instructions, and wonder whether the problem is the normal 'gimbal lock', which sounds as though it is an expected problem when working with euler rotations. ? i don't really know for sure, but i do have a workaround that i thought might be worth mentioning, in case you haven't already thought of it.
With character animation in anim8or, this problem is always in the 'upper arm'.
ie: in front view, character has arms out straight. If i bend the upper arm down, Z axis, and then try to move the arm fwd, x axis, then thats when you get a problem. (as you have explained, very well.
So, my way around that is to do the x axis rotations FIRST.
It takes a bit of thinking/planning ahead, but it gets the job done and, for me anyway, i'm noticing the improvements in my character animation, becoz i can now get the arms to move more freely and easilly than i could when i was struggling with exactly the thing which you are talking about.