Apologies for the lack of a screenshot, but my game crashed unexpectedly on me, so I didn't get a chance to document this properly.

Anyways, my first road building experience (and I had several that all went the same) went a little something like this:

My first city was to the southeast--perhaps, say, 25 tiles total diagonal distance, slightly more east than south.

I am at the second, newer city and click the road button, then select the first city, hit Okay, and close it.  Pass some turns (no threats without enemy AI!) and I notice that a new, dark line is moving away from City No. 2 -- good sign, right?

Except that the line is moving north-northwest, in the exact opposite direction of city no. 1!  As far as I could tell, all of my roads just blazed off into the great beyond, fading into the fog of war, never coming close to the intended cities, except once.

City 3 was directly southwest of City 2, maybe 10 tiles diagonal distance.  It already has its own road blaring off to the northwest (I told it to build to City 1, almost directly east of it, ~30 tiles distance).  The new road from City 2 went west-southwest (too far west to hit City 3), but that DID lead it directly to the road moving away form City 3 that already existed.

The two roads joined at 4 separate places (creating little "road rings") along a diagonal path before fading into the fog of war and out of site.

I'll attach a crappy MSPaint representation of this whole thing.