You're right. I just powered up my Siglent SDS1204X-E and it has exactly the same behavior.
In all the years I've used these scopes I've never noticed that before!
Thinking about it, when looking for small transient spikes I have sometimes had to set it to falling edge to catch them at low levels, but I always assumed it was something I was doing wrong, rather than the behavior of the triggers.
Thanks,
J.