Hmm. That sounds strange. I'm not sure how an Oblivion gate would take you anywhere other than to the planes of oblivion.
The only thing I can think of, and don't take offense here, is that maybe you just walked through the gate as opposed to activating it (press space bar on PC) like a door. I'm thinking it's possible that you accidentally pressed the space bar to get through the first time and never knew to activate it.
I'm not trying to insult you here, if this isn't the problem. I just can't think of anything else. It's a really strange bug otherwise.
Thats actually was I was thinkin he did.