The Bug
Baby mobs will always stick around their parents, but because a mule can only come about from a horse and donkey breeding, it will not display the same behavior. However, if there is an adult mule nearby it will act as if that was its parent.
Reproduce
Breed a horse and a donkey to get a mule
Lead the horse and donkey away
❌ Notice the baby mule doesn't follow its parents
Expected Result
The baby mule would follow the horse or donkey since those were its parents
I was able to reproduce. I've updated your report to be a little more clear