Thanks for the report, jaina8851
While it may seem strange, the behavior in case 2 is actually correct. Basically, as long as not all effects that trigger "At start of turn" have been completely handled, every newly appearing ability that triggers "At start of turn" will be added to the list of "things that need to be handled for Start of turn".
It starts with Prince, that happens "At start of turn". Prince plays Fool and gives you the "Lost in the Woods" state. But that state has an "At start of turn" triggered ability, and since you get that state before the Prince effect is over, the game sees this new "At start of turn" effect and adds it to the list of things to do. If nothing else triggered at start of turn, this would then happen automatically, as you described.
I understand that this may seem counterintuitive at first (it did to me), but is a consequent application of the general rules for triggered abiltiies. For example, take a look at this post on f.ds: http://forum.dominionstrategy.com/index.php?topic=13104.msg486320#msg486320