Blender exported to Unity, Empty loses its parent

On a model I added an empty and set a bone as parent. When I export the FBX and Import it to Unity, the empty is only parented to the armature, but not on the bone.

Is there some bug, or do I simply miss something?

I'm using Blender 2.5

You can't actually parent to a bone in Blender. When you tell Blender to parent a mesh to a bone, what actually happens is that all the mesh's vertices are weighted 100% to the bone. (This is what carries over via FBX, I have no idea how Blender handles this internally). Because armature parenting relationships do not export, objects without vertices lose any bone parenting relationships that existed in Blender.

What you can do, to take better control of parenting, and avoid a skinned mesh being created (in the case of an actual mesh), is to use the Child-Of constraint, in Blender. Then, you either need to modify the FBX exporter yourself, or reparent to bones, in Unity. There is no "it just works" for this yet.