Details
Bug
Resolved
Major
Description
When an object is reconstituted from the persistent storage the unserialize trick is used. That means __wakeup() is called, which is useful to do further initialization as needed.
If the object is lazy loaded a proxy is generated. That proxy is generated with new and thus no _wakeup() is called. When the proxy is eventually initialized still no call to _wakeup() is done, thus initialization code that is "usually" executed is not called when an object is lazy-loaded.
That is a semantical error.
Activity
You write shouldn't be used, but that seems somewhat strange, given that the page you point to explicitly says However, it is quite easy to make use of these methods in a safe way by guarding the custom wakeup or clone code with an entity identity check, as demonstrated in the following sections.
And still the issue remains that eager-loaded instances created with the unserialize trick do call wakeup() (of course) but this does not happen when being lazy-loaded. Inconsistency, it screams... 
__wakeup() shouldn't be used as per definition of an entity, http://www.doctrine-project.org/docs/orm/2.0/en/cookbook/implementing-wakeup-or-clone.html
For post initialization "postLoad()" should be used.