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It's not a "bug" in a strict sense. Rather lack of logic or just mistake. It's very easy to fix: go to interface folder (not gfx/interface but interface) and find a .gfx file (open with notepad) where sprites are designated to specific units. Unfortunately I can't remember which one it is exactly (it's not "unitpanel" as one could think). When you open it, you'll see list of different troops with associated sprites. Change all lines with "samurai_reatiners" to "ashigaru_levy" and vice versa (whatever it's called exactly). Voila! In game you will have all levies with ashigaru sprite and all reatainers with samurai one.
 
Screenshots as requested: (Like Sylon, I also purchased from gamersgate. Not sure if that's relevant.)

Levy

Qk5Nr.jpg


Retinue

Eh9Pe.jpg
 
By the way, i found the files kristoff was referring to. You have to go in to the interface folder, open avatars.gfx, and change "levy_sprite" AND "levy_sprite_weapon" to "retinue_sprite" and "retinue_sprite_weapon". And vice versa. Then you're set!