This seems a bit complicated, but I reproduced the bug on the different machines (both running Ubuntu Lucid)

1. > mount /dev/sdX /mnt/doesntmatter
where sdX is a partition on your hard disk (different from /, /home, etc..., like the partition of a different OS)

2. > mount --bind /mnt/doesntmatter/Users/user/Downloads /home/user/Downloads

3. open /home/user/Downloads in Nautilus

4. move a file to the trash (right click -> move to trash)

You'll see that the file ends in "/home/user/Downloads/.Trash-$UID/files/" but Nautilus won't show it in trash:/// like it should and doesn't even show a message to explain that you can't move that file to the trash, like it does in other cases.

This is not only annoying, but it not easily discoverable, when I realized what was happening I had a huge /some/bound/dir/.Trash-$UID (several gigabytes)