I've tested it here and on my test board with GD image library as well, and with this option enabled, direct links (image in a new tab) worked fine with EXIF rotation, so it looks like it's ImageMagick specific.
Just in case, I'm using:
imagick module version 3.1.2
ImageMagick version ImageMagick 6.8.8-7 Q16 x86_64 2014-02-18 http://www.imagemagick.org
The direct link EXIF rotation is basically important mostly to smartphones since there is no lightbox there, and every attachment is opened in a new window/tab.