In my last game, I've found a bit of a curiosity involving the enemy neutralizing my spies:

Turn 1: I place a spy on another civ's planet.
Turn 2: While the spy icon still appears on the planet, the spy no longer appears on the improvement I placed him on. Also, the spy no longer appears on the list of spies available for placement.
Turn 3: At the beginning of the turn, I'm informed that my spy has been killed.

Is this a bug, or is this as things are supposed to be? If it's the latter, it might be worth moving the notice I get in Turn 3 to Turn 2, and removing the spy icon from the planet as soon as he's killed.