Inspector transform question

I have a question about transforms in the Inspector view.

For example, I create a directional light. GameObject → Create Other → Directional Light.
And I zero out the position and rotation.

So now, the light should be pointing down the Z+ axis.

I then enter 45 degrees for Z rotation. Looks ok.
Then enter 45 degrees for Y rotation. Here, this rotation looks odd.

I’m expecting the light to point diagonally up, but instead it’s pointing diagonally straight
with no inclination. Why is this?

I would like a worldspace rotation of (0,45,45), but I’m not seeing that.

Here’s my script:

#pragma strict

function Start()
{
   var lightObj : GameObject = new GameObject("Directional Light");
   var light: Light = lightObj.AddComponent("Light") as Light;

   light.type = LightType.Directional;
   light.transform.position = Vector3(0,0,0);

   var rotation = Quaternion.identity;
   rotation.eulerAngles = Vector3(0,45,45);

   light.transform.rotation = rotation;
}

Since the light points down the Z axis, rotating the zaxis will not change where the light is pointing, only cause it to spin in place. You want to use the X axis.

Unity uses DirectX, so the matrix multiplication order is XYZ instead of ZYX?
Thanks, I think that is my mis-understanding.