That is a lack of documentation.
It is expected behaviour.

Particle Instance modifier could be seen as an array modifier duplicating mesh basis at particles locations.
Object visualization of a particle system is like dupliverts or duplifaces. It is dupliparticles.

After a Particle Instance modifier, you add another modifier like a Simple Deform modifier.
It creates a derivated mesh made of thousand of parts but for everything that comes after this modifier, it is just one mesh, one entity.

But dupliparticles are still several particles corresponding to several indices, several velocities and several ages.

To sum up, the same way, you can not obtain a different color per repetition of a mesh basis produced by an Array modifier using an Object Info node.
You can not obtain a different color per repetition of a mesh basis produced by a Particle Instance modifier using a Particle Info node.

Right OK that makes sense then, and I can see other possibilities for its uses this way. What do we do to make the documentation a little more specific?