I do believe you've found a bug.
If you switch the Optimization to any setting other than Custom, it changes the label. i.e. if you switch to Better Performance, it sets it to 'Your energy settings are optimized for high performance.'
If you then change any of the settings, it flips Optimization to custom, but never updates the label. So you can set your CPU to low speed, make the hard drive sleep instantly, etc., and that label will still insist you have HIGH PERFORMANCE!
Maybe this is related to Apple's insistence that their processors are the FASTEST ON EARTH! *duck*