Thanks for the report, Anders.
However, as counterintuitive as this may sound, it is the correct behaviour. You can find much more detailed information here: http://wiki.dominionstrategy.com/index.php/Inheritance
but the key aspect is the following:
If you Transmute an Inherited Estate, the Estate is in the trash and, thus, no longer yours when Transmute checks its type; therefore you would only get a Gold (for trashing a Victory card) and not a Duchy (since Estate cannot be an Action card in the trash). The only exception to this is an Inherited Fortress, which remains yours even after it is trashed.
The same logic applies to similar cards, like Catapult and Sacrifice.
The situation is different for Capitalism, as this affects all cards in all places during your turn. If you Sacrifice a Milita when you have bought Capitalism, the Militia is still a Treasure in the trash, so Sacrifices gives the respective bonus.
Inheritance is special in that it affects only 'your' Estates, while many other cards are carefully worded to usually apply to anything on your turn, even though it will mostly affect only you. For example, your -$2 cost token from Adventures works for all players on your turn.
It's been recognized by Donald X. (game designer) that this behaviour of Inheritance is not 'nice' and can lead to common misconceptions as this one. But they still work as printed, which means it's compicated, as this example shows.