I get the same behaviour on my machine: bold will not work, but italics will (for example).
The 'test dialog' is basically a CreateDialogIndirect() call, so this should be as close as possible to what Windows thinks a dialog should look like (including font mapping and whatever). What you see in the dialog editor is all my code, which blindly uses the choosen dialog properties. Apparently this is not correct, but I can't find any relevant information about how Windows creates the font to use...
If bold is never allowed, I can obviously remove this property - but I like to find some official documentation telling me this. At the moment I can't...