The W3C standard on the window object – including the location interface – is dated 07 April 2006, ie it was specified after actual implementations had been around for years.
The standard reads:
pathname
This attribute represents the path component of the Location’s URI which consists of everything after the host and port up to and excluding the first question mark (?) or hash mark (#).
This means the leading slash should be included, which is consistent with Mozilla’s implementation.
The MSDN doc on the location object doesn’t mention what the property contains, but a page on the VBScript location object has an example consistent with your discovery.
As said page is ©1996 – ten years before the W3C got involved – it’s hardly fair to say that IE is at fault, but I’d still consider it a bug.