Yep, I believe it's not a bug too.
I like to think that Nightmare is not an actual direct-damage spell. It's a spell that alter your opponent hands and then inflict damage afterwards. Which is why it can be blocked by sanctuary, but not reflective shields. Someone else might be able to give a more concrete answer, but this is how I see it based on my observation.
Also, poison vs reflective shields has this similar problem too. Probably the wording for reflective shields need to be changed, but I'm not sure how to describe it better or whether that's a good approach.