This has always been the case as far as I know.  Also if you take over an opponent city in which it's already built you can still build one.  However if you take over a city that is building one and let it complete you will not be able to build another.  It seems to register that you have built a Great Mill (and similar 1 per faction buildings) when it first enters the queue of one of your cities and again when it completes.  So one that is already built doesn't trigger whatever it is in the programming that tells it you can't build one.  Also since it doesn't cancel construction in a city you conquer it doesn't seem to check whether it's allowed to build another one that's being built.