Presumably this is a bug. If you place a portrait photo from a camera in an InDesign document, InDesign will respect the EXIF information included with the file, and orientate the image accordingly.

However, if you use Data Merge and import photos dynamically via an image field, those same photos will be imported with the incorrect orientation, i.e. it ignores the rotation specified in EXIF. This can be very laborious to correct if not all photos are taken with the same orientation.