Unfortunetly I didn't get a screenshot of this, so I made a quick sketch of it with paint. The first bug is that the roads I built didn't connect only my cities. One branch went way off Northwest into enemy territory, eventually connecting with an enemy city:

I started connecting my 3 cities, but as the road was building, it decided to branch off.

This then leads to the next bug. Apparently the game thought the road was an act of war. Every couple of turns the little message box would pop up "Crossing this border will start a war with ____ Are you sure you want to continue?" or whatever the exact wording is. I would click no, then a couple turns later it would come back. I checked to make sure it wasn't one of my units trying to cross a border, but none of them were trying to move.