I came across an error in Photoshop CC when combining using the pen tool and rotating the canvas.
1) Create a new photoshop document
2) Draw an ellipse using the ellipse tool. Select ellipse
3) Select the pen tool. Make sure combine shapes is selected. Draw a triangle which intersects the ellipse.
4) Select Image/Image Rotation/90 CW
Result: the triangle will rotate with the canvas but the ellipse will not.
That's because you deselected the ellipse when you started your triangle with the pen tool. Use the path selection tool in combination with the Shift key to select both and they will both rotate with the image.
I can confirm the issue. It's clearly a bug. Image rotation should rotate everything as it is in fact the whole canvas that is rotating.
It works ok in CS6.
I experimented a bit. Same thing happens with multiple paths (eg. ellipse tool). Only the last drawn path rotates.