Hi,
in Tools->Settings->Tools->Tools I've set this path to php.ini:
C:\WINDOWS\php.ini

In the project properties I've set Run mode as System default

but doing an echo of phpinfo() in the output I find that the path to php.ini is:
C:\Programmi\nusphere\phped\php\php.ini

I remember that in version 4.0 it worked properly; is it a bug?

there is no problem.
That setting is not intended to tell php where to take php.ini. It's just a kind of shortcut for you to edit whatsoever php.ini

isn't this misleading?

why don't the path set in that option to run php?

it's not misleading.
That path points to php.ini to open it in the editor. Nothing more.