Not sure if this is a bug, but hopefully, it isn't feature.
My first city at level 3 got the ability to build the Merchantcross Bazaar. I decided to hold off for a bit, and built a Grocer, first. After that, there was no option to build the Bazaar. No popup appeared stating that it had already been built. When I tried destroying other buildings, just in case the Grocer was in the way, I still didn't have the Bazaar as an option.