This is the expected behavior, as the program member custom fields will only sync data to campaign member fields when the Salesforce Campaign Sync is setup for the Instance/Program in question.
Using flow steps to sync SFDC Campaign Members will not carry over data for Program Member Custom Fields.
SFDC Campaign Sync is not enabled.
Enable/Disable Campaign Sync
Enable/Disable Campaign Sync | Adobe Marketo Engage
Program Member Custom Field Sync
Program Member Custom Field Sync | Adobe Marketo Engage