I just tried it and had no problems.
Perhaps you are looking at the (how can I best describe this) the line in the Master project which identifies the subproject that was inserted. That line does not have a baseline.
In other words, I
1. Created a project.
2. Baselined it.
3. Saved it as P1.
4. Repeated 1 and 2 and saved it as P2.
5. Repeated 1 and 2 and saved it as P3.
6. Repeated 1, skipped 2, saved it as P4.
7. Created a Blank project
8. Inserted Project P1.
9. Inserted Project P2.
10. Inserted Project P3.
11. Inserted Project P4.
12. Displayed Baseline start column.
At this point you will not see any baseline dates on lines 1, 2, 3 or 4 in the Master Project plan.
13. Expanded P1, P2, P3 and P4 by clicking on "+".
14. I saw baseline dates for:
(a) tasks inside subproject P1
(b) tasks inside subproject P2
(c) tasks inside subproject P3
15. I did not see baseline dates for tasks inside subproject P4 tasks (because I didn't baseline it).