Why does Cmd-I in Preview do something other than advertised?
This is not a bug, although I can certainly see why it looks like one. That little symbol is a pipe ( | ), not the letter I. The pipe is the upper character on the backslash ( \ ) key.

So to type ⌘-|, the physical keys you need to press are: ⌘-Shift-\.

The difference between "|" and "I" was more pronounced back when Lucida Grande was the system font (in fact, this very post is set in Lucida Grande; you can see how the pipe is taller and thinner than the uppercase I). But OS X Yosemite switched the system font to Helvetica, and unfortunately the "|" and "I" now look basically identical.