Tablespaces and primary keys

Implicit indexes created by a constraint do not appear to honor the default
tablespace. The index gets created in the "null" tablespace.

I took pg_dumpall output and modified the schema to place everything in
specific table spaces. When the statement:

ALTER TABLE ONLY addresses
ADD CONSTRAINT addresses_pkey PRIMARY KEY (address_key);

is executed, this results in an implicitly created index:

NOTICE: ALTER TABLE / ADD PRIMARY KEY will create implicit index
"addresses_pkey" for table "addresses"

However, it ignores my previous command:

SET default_tablespace = indexes;

and creates the index without a tablespace. Of course, I can do an

ALTER INDEX addresses_pkey SET tablespace indexes;

but that's a bit of a hassle where there are a number of very large indexes.

I can't pre-create the index, as the constraint will try to create it's own
index anyway.

Is there something I'm overlooking, or is this a bug?

Wes