The axis on which the angle of deformation is applied is hard coded into the modifier.

This makes it very hard to deform an object if it's not properly aligned with the axis.
You need to go into Edit Mode align the object with the axis by trial-and-error, apply the modifier and then rotate the object back again in the Edit Mode.

For comparison 3ds Max's Bend modifier has the option to select the axis:
http://www.fanhow.com/images/4/4b/How_to_use_bend_modifier_in_3ds_MAX_3.png

Blend could fix this by allowing
- {X, Y, Z} axis in global and local mode
- as well as a custom rotation axis (global coordinates as a 3 parameters between 0 and 1, but visualizing the custom axis would be even better)

Thanks