OK, after some research...
The clay render does maintain bumps... it is a 'feature' not a bug.
Typically clay renders are done for studies on light, and this is usually before many materials or any have been applied.
The fact that Twilight makes is so easy to apply a bump map makes leaving of the bump maps more 'obvious'... but as Gaieus has pointed out, not the end of the world.
For now, it will remain as it is. In a future release we may enhance the clay render settings.
We can see about optimizing the clay render settings further, (any user can do this themselves) but as it is, I would suggest trying the Low+ render setting, you will find it does a pretty nice job.
**important tip with clay renders -**Disable the sun, and set the sky to "Sky Color" and choose a light gray color. This gives very nice results very quickly.