File > New and choose, for examle, the Letter preset (or, let it default from a prior document)
Change the page width and height to something else. Note that, correctly, the Preset name changes to Custom.
FIle > New. At this point, the document dimensions in the dialog are as they were set in step 2, but the Preset name is that set in step 1, rather than Custom.
However, File > Document Setup properly shows Custom as the Preset name in the new document. It's just the File > New dialog that is wrong.