I would guess it's a bug, because the program behaves more in line with your (and my) expectations on Perl 5.12:

use Symbol;
use 5.012;
{
  package Foo;

  sub TIEHANDLE {
    my ($sClass, $fh)  = @_;
    return bless([$fh], $sClass);
  }

  sub PRINT {
    my $self = shift;
    my $fh = $self->[0];
    CORE::print $fh "tied to $self:", @_;
  }
}

my $x=gensym;
tie *$x, 'Foo', \*STDOUT;

local $\="\n***\n";
say "Not tied: I'm just saying ...";
say $x "I'm just saying ...";

# outputs (note that say $x is followed by "\n***\n"
# not "\n"
#
# Not tied: I'm just saying ...
# tied to Foo=ARRAY(0x8197ed0):I'm just saying ...
# ***
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This is on Strawberry Perl 5.12:

This is perl 5, version 12, subversion 1 (v5.12.1) built for MSWin32-x
+86-multi-thread
[download]