ORDER BY col is NULL in UNION causes error?

I asked about this on IRC and the helpful people online at the time
didn't seem to have an explanation.

Works
---------------------
select * from income_tax_rate_us order by state is null;

Works
---------------------
select * from income_tax_rate_us UNION select * from income_tax_rate_us
order by state;

Fails
---------------------
select * from income_tax_rate_us UNION select * from income_tax_rate_us
order by state is null;
ERROR: ORDER BY on a UNION/INTERSECT/EXCEPT result must be on one of
the result columns

I'm running: PostgreSQL 8.1.5 on x86_64-mandriva-linux-gnu, compiled by
GCC x86_64-mandriva-linux-gnu-gcc (GCC) 4.1.1 20060724 (prerelease)
(4.1.1-3mdk)

--
Mike Benoit <ipso(at)snappymail(dot)ca>