The problem exists in at least current master (f281b8f4), 4.2.25(1)-release, 3.2.51(1)-release:

$ ./bash --version
GNU bash, version 4.2.45(2)-release (x86_64-unknown-linux-gnu)
Copyright (C) 2011 Free Software Foundation, Inc.
License GPLv3+: GNU GPL version 3 or later <http://gnu.org/licenses/gpl.html>

This is free software; you are free to change and redistribute it.
There is NO WARRANTY, to the extent permitted by law.
$ git rev-parse HEAD
f281b8f4f8936b2713966274d9f8508a9f0910e4

$ cat > process-substistution-wait.sh
#!/bin/bash
exec 3> >(sleep 1)
wait $!
pstree -ap $$

$ ./bash process-substistution-wait.sh
process-substistution-wait.sh: line 3: wait: pid 19522 is not a child of this shell
bash,19521 process-substistution-wait.sh
  ├─bash,19522 process-substistution-wait.sh
  │   └─sleep,19523 1
  └─pstree,19524 -ap 19521