Hi Eddie,
This is indeed standard AX 2012 behaviour. The filtering is forced within the segmented entry control within the journals, but not on the default dimension sections on e.g. sales orders.
The default dimensions can have more dimensions displayed than needed for the transaction. As the dimension fields are being created on the form dynamically, I can image that it would be too hard to filter it.
At least during posting the dimensions are validated on the valid values.