I cannot reproduce it with your script and 0.9.5 on macosx 10.4, the last pull
gives me:
"""
+ cd ../hgtest-fetch-b
+ ls
b
+ hg pull -u
pulling from /private/tmp/hgtest-fetch
searching for changes
adding changesets
adding manifests
adding file changes
added 2 changesets with 1 changes to 1 files
1 files updated, 0 files merged, 0 files removed, 0 files unresolved
+ ls
b  c
"""