i think it would be a bug.
it's ok, if i set the document root as the top level folder,or like your problem too.

location ~ \.php$ {
root /web; # ok
#root /web/htdocs; # your problem
fastcgi_pass 127.0.0.1:9000;
fastcgi_index index.php;
fastcgi_param SCRIPT_FILENAME $document_root$fastcgi_script_name;
include fastcgi_params;
}

i do't know how to deal with.
the version is nginx-1.2.4