The email exchange with the Rigol support did not give me a clue if they were aware of this problem. To be fair and to give the full picture, I observed the error on a Linux machine and I assume that Rigol runs tests, if any, mostly under Windows. So there is a minor chance that the problem does not appear with Windows or MacOS. I tried though some Windows software from Rigol in a VirtualBox with Windows, and the problem occurred there too. But if the problem is somehow related to some lower level Linux USB driver, the virtual Windows machine would be affected from such a problem too. So, there might be a small chance that the problem with reading "long memory" data is limited.
OTOH, while working on a Python library to control the DS1052E I noticed several quirks of the Rigol firmware. Some are just weird, others are more serious. Overall, I am not very impressed with the software side of the DS1052. But it is IMHO still a quite good DSO for its price.