Hey,

That's not really a bug, even though I can see how suggested behavior would be convenient in this case.

Modifiers aren't supposed to create new vertex groups on the mesh when copied or linked. You just have to make sure those other objects do already have a vertex group of that name before you duplicate them.

Say me please.
That advise me to do in this case (the video by 15 seconds):
http://www.youtube.com/watch?v=4J0X7lFW76c

Objects is very much ...

All objects manually assign a vertex group long and tedious. And, you can skip something by accident. Please, add this feature.

If you really need to assign vertex groups for hundreds of objects you could write a python script to do that for you:

1) Select all objects that don't already have that vertex group
2) Open Python Console window
3) Type/copy-paste:
for ob in C.selected_objects: ob.vertex_groups.new(name="dp_weight")

That will add a new vertex group of name of "dp_weight" to all selected objects.