Yes, I sort of see your point but you obviously did very well to defeat the Grundy family *before* the orange quest (which would sort of help with the issue with the town situation).
It's not a bug as such, but yeah might feel a bit strange that the sheriff lets you collect the bounty even though he doesn't want you around. I guess he was too gobsmacked and impressed by your feat that he was willing to give you a momentary reprieve ;) After all, you'd still be banned from the other areas of the town, so imagine he marched you back out again afterwards
EDIT: Sorry, re-read your original comment - and see that you took the escape option from the town instead (which is a surprise you made the difficult check). So I can see it might seem a little odd, but remember that significant time will have likely passed between the two events, so hopefully not too immersion breaking!