Turn off Automatic finger Curling in Rigify This can easily be tested with the Rigify addon:
Drop a Human metarig (that has fingers)
Generate the Rig

Select the base finger control on any finger (1st control)

When you rotate in X axis, the entire finger curls because the subsequent 2 controls are set to Inherit Rotation. (Under Bone Tab > Relations ...)
When you rotate in Y or Z axis however, even with the Inherit rotation on, the subsequent 2 fingers do not bend like the do in X.

Now try turning off Inherit Rotation on all finger controls.
Select the Base Finger control again.
Rotate along X axis, this one behaves as expected, the base rotates but the subsequent 2 controls are just acting like Children Of. Which is best.
When you rotate along Y axis however, now the subsequent 2 controls counter rotate to preserve their initial world space orientation.

Am I missing anything or is this intended behavior ?

This happens regardless of whether rotation is set to Quat or Euler.
I realised somehow the fingers were set to tentacle. I just now learned the workflow of setting the rig type in the metarig at the base of each chain.
Setting the rigify type to basic.copy_Chain get me the plain FK finger setup I was looking for.
The problem illustrated above is a feature of the tentacle chain which is what it was set to. The tentacle chain uses rotation constraints to automatically rotate every bone according to its parents rotation. you can simply disable the constraint for every bone if you want to use a tentacle chain without the automatic curling.