I don't know if it's a 'known issue' but see this thread just below where someone came across something similar.
http://forum.ableton.com/viewtopic.php?f=2&t=144386
Presumably you are also setting monitor to In on your track 2? So it's not simply to do with using return tracks but also related to routing through other tracks. In that case I worked out that setting the Audio From on your monitoring track to No Input rather than the default Ext In should allow it to work correctly.
I don't know if this is a problem exactly or if it's fair enough that Live would have trouble keeping everything sample accurate when monitoring from internal tracks and external input on the same track. Seems like a tricky scenario for perfect latency compensation.