I can confirm the problem. We never had any problems with pigs in our 2 multiplayer playthroughs. But in H&H every few games a pig 'escapes' from the pighouse. Either on server start or after teleporting back to base.

It's not the situation when the piglet is born outside, but we've seen pigs load outside of pighouses. Pigs were named (with numbers) so we're sure that these were not piglets born outside.

Something is wrong and I agree with @Jitatha - it's probably entity-loading bug.