Are you sure about this? My understanding is that the result of CopyPalette is unspecified when your pixel format is not an indexed color format (in this case, a grayscale format).
It seems that WIC always creates a predefined palette if an image doesn't have one, see the test sent in 2/5.
The test in 2/5 was for gdiplus, not WIC.
So, while it's not really a problem to do that (unless a program relies on the exact behavior of this decoder, which seems unlikely), for correctness you shouldn't ever be relying on this change.
The problem is that gdiplus always expects a palette when converting between formats and crashes if there is no one.
Gdiplus can create its own grayscale palette for grayscale formats if it needs one.