It sounds as if more work is needed at those settings to get it in focus. http://photo.tutsplus.com/articles/hardware/how-to-shoot-with-an-extremely-shallow-depth-of-field/ is worth reading too.
But your post does bring up a good question. Should consumer gear block out settings that may not work?
Bob
I have a Canon 350D with a Sigma 70-300 zoom lens. I recently added a macro lens with Richarm wide-angle lens. When I use maximum zoom, the picture 'mists' up - goes all foggy.
This doesn't happen with my Canon 18-55 lens with the macro & wide-angle lens added.
I have UV filters on both the Canon & Sigma lenses.
Has anyone seen this before?

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