I actually went on and found other asteroids with atmospheres to see how common the bug is. Very uncommon and hard to catch indeed, as they mostly appear in asteroid rings around gas giants, which makes them unlisted in the solar system browser. This is the smallest one I've found so far.
Very weird, also beautiful picture with the gas giant in the background!
In my custom galaxy (Galaxya), I found a strange volcano (RS 647347-11117-8-11981677-9122 B4) :
I have also seen bugged volcanoes, still probably qualifies as a strange sighting!
And a gas giant moon with a mass superior than Jupiter and it's size. It is the four object in size (from biggest to smaller).
I remember finding something like that, but very rare things indeed.
Also, the gas giants was way out in the system, which means larger hill sphere, which means stuff like that is more common way out.
Space is too big to understand, so do not try to understand.