1. Do you have widow/orphan protection enabled with Keep Settings, and is the last line pushed over to the next page because of this?
(InDesign works in this order: i) prevent last line on the page from breaking; ii) honor Keep settings.)
2. Is there something 'below' the last line, such as a footnote?
(InDesign does not consider what you and I think of as "the last line" if there is a footnote on that same page. Actually I don't know if your setting is honoured to footnotes; maybe it should be applied to both!)
1. No. (You refer to: Paragraph Style Options / Keep Options / Keep with Previous // Keep Lines Together, right?)
2. Yes, footnotes. And actually, ID hyphenates both across page breaks, where it's supposed to hyphenate neither.
I knew it had to be one of those
Unfortunately, it doesn't work in that case; and yes, you may consider it a bug.
(Even more unfortunately, I was going to answer the same even if it turned out to be the other one!)
Yea, well. Footnotes function is a bugpile, application can't respect it's own prefs on hyphenation … have you tried Xpress lately?