I have been trying to fix it since first release of Odoo 8, and didn't found out yet how to, any clue?
Here's a short clip showing the situation:
http://bit.ly/1BJCbkf
As you can see that behavior is only at purchase order, supplier invoice loads cost correctly.
Tested database at http://bit.ly/18FI4CQ on Odoo8 v. 03/05/15
Perhaps something is wrong with the product_id_change() method in the sale.py file. Or maybe there is an overridden method that is preventing the price of the product from being loaded in the field when you select a product from the dropdown. Are you a developer that can check if this is true?