Have noticed this as well on our newer −800Ws and −900ERW 's as well .I actually like this feature , there's no drastic pitch change as the aircraft dives to regain the path and the changeover to VNAV SPD is quite straightforward.All I do then is use DES SPD to modify the path once again and it's back on PATH again.
I've noticed though some of our −700's used to have some issues when on VNAV and the aircraft not behaving quite as expected in VNAV. I suspect Boeing have modified their software and removed these chinks in the system .
Regardless, I think that over-reliance and modifying the FMC too much to get the aircraft behave the way want it to in VNAV/LNAV is a common problem and my first reaction to a VNAV problem is take over on the MCP , then sort out the issue before re-engaging VNAV..which is what I suspect most 737 drivers do....