Yes it does not work.
Yes you are correct.
In general life is not fair. In the above case the Web UI is a better alternative.
Unless you could cut and paste from another Excel Row to the one you are setting (ie correct code) or if you are setting a bunch of rows to the same Domain Based code.
So say for All green pens the buyer is Joe. (Joe is a domain based entity byer). I would filter the pens for green pens all the way at the start and then set all buyers to Joe...
Also maybe you can set it with a Business Rule and avoid the headache that way.
Ok this is a big Excel limitation you are 100% correct.