Mockito: using a method in "thenReturn" to return a mock doesn't work

I have encountered what I assume might be a bug with Mockito, but was wondering if anyone else can shed light as to why this test doesn't work.

The full example class is here on pastebin, but I'm going to walk through it.

Basically, I have two objects, like this:

public class FirstObject {
    private SecondObject secondObject;
    public SecondObject getSecondObject() { return secondObject; }
}

public class SecondObject {
    private String name;
    public String getName() { return name; }
}

The first object is mocked via annotation and the before method:

@Mock
FirstObject mockedFirstObject;

@Before
public void setup() {
    MockitoAnnotations.initMocks(this);
}

The second object is mocked in a method:

public SecondObject setupMockedSecondObject() {
    SecondObject secondObject = Mockito.mock(SecondObject.class);
    Mockito.when(secondObject.getName()).thenReturn("MockObject");
    return secondObject;
}

When "thenReturn" contains a direct call to this method to setup and obtain a mock of the second object, it fails:

@Test
public void notWorkingTest() {
    Mockito.when(mockedFirstObject.getSecondObject()).thenReturn(setupMockedSecondObject());
    Assert.assertEquals(mockedFirstObject.getSecondObject().getName(), "MockObject");
}

But when the mock returned by the same method is assigned to a local variable, which is used in "thenReturn", it works:

@Test
public void workingTest() {
    SecondObject mockedSecondObject = setupMockedSecondObject();
    Mockito.when(mockedFirstObject.getSecondObject()).thenReturn(mockedSecondObject);
    Assert.assertEquals(mockedFirstObject.getSecondObject().getName(), "MockObject");
}

Are we doing something wrong... or is this indeed a bug/limitation in Mockito? Is there a deliberate reason for this not working?