It depends upon what the object is and WHEN the object was rotated - current working session or previous session where the file has been closed and reopened. In addition to what has been done since the object was rotated, assuming it's still the current working session.
The primary thing is that the bounding box resets upon certain actions such as saving, expanding, copy/pasting, duplicating, transforming, etc. The bounding box has never been designed to stay rotated with the object, although it will do just that in some instances.
The issue with groups is that each object within the group technically has its own bounding box. So which box is the correct one to display? AI can not possibly determine that in most cases, so it creates one bounding box square to the artboard.
It does seem like it would be an easy matter for AI to "find the edges" of the group, determine corners, thus determine angle and create a bounding box... but it just doesn't work that way. Chalk this up to along the same lines of AI never remembering the degree of rotation for objects (like InDesign does). There's little reason that could not be part of the application, it just is not.
In many cases using
Effects > Distort & Transform > Transform may be better to use, although less intuitive. Primarily because the effect will remember degrees of rotation along with other settings.