form_set_error in validation callback does not prevent the current step form from going to the next form step

Hi,

I added the following code into mforms_example/mforms/mforms_example.session_store_example.inc:

function _mforms_example_step1_validate($form, &$form_state) {
  if (!$form_state['values']['www']) {
    // form_set_error wont prevent the step 1 form going to the step 2 form.
    form_set_error('www', t('Website is missing...'));

    // Just to make sure this portion of code was reached when the ajax callback ran, I also added a drupal_set_message.
    drupal_set_message('Yes, this portion of the code has been visited, so the validation callback is being called properly.');
  }
}

So, in my mind the step 1 form at YOURDOMAIN/mforms/example/session should persist when the "Continue" button is hit and "Your web site" field is left empty. That doesn't happen, the step 2 form gets loaded instead.

Is it a bug or am I missing something?