Lone Rider seem to have multiple bugs/unexpected behaviors As they are all related to its transform capacity, it could be the one and only bug.
1 Lone rider+Double Strike :
Lone Rider on board, buffed with Uncaged Fury, it becomes 2/2 with double strike for the turn. It deals 2+2 damages and heal me 2+2 as well. Shouldn’t its "When you gain 3 or more Life, this creature transforms" ability trigger as I won 4 Life ?
I experienced that myself it seems that Lone Rider does not take any damage when it transforms because of its first strike ability but the defender has enough toughness to strike back.
The fact that it needs you to gain 3 life in one batch rather than 3 life in one turn is poor documentation rather than a bug. It is working as intended even though that’s very different from how it works in the card game.
The bug is how it does damage when flipping. If you come through with a 3+ power life linker before the Lone Rider does damage, the Lone Rider will flip but still do only 1 damage that turn. Presumably that’s to hearken to the card game issue where it flips at end of turn, so that’s probably intentional. But when I say “only 1 dmage” I mean only 1 damage. If you have buffs from Murderer’s Ax or Nahiri’s Stoneforge or whatever sitting on the Lone Rider, it will still only do 1 damage on the turn it flips even though it was entitled to a lot more than that.
Example: you have a War Oracle and a Reinforced Lone Rider. The War Oracle swings for 3 damage and you gain 3 life (and it gains Renoun), and the Lone Rider stack flips to an 8/8 - but it only does 1 damage to your opponent on that turn. It should do either 2 or 8 depending on how the timing of the flip is supposed to be happening, but instead it only does 1.
Similarly there’s an ever present bug with creatures losing their buffs when they transform and reinforce. That is, when your Lone Rider flips into It That Rides As One it is a 4/4. If you put a Chitinous Coat on it before flipping, it’s a 6/6 (the 4/4 base plus the +2/+2 for the spell). If you already have an It That Rides stack, the flipped Lone Rider will be removed and the It That Rides stack will be reinforced. But that’s all it will do - it will just be reinforced. All the bonuses on the Lone Rider stack are lost in that instance.
This is particularly annoying for high level Nahiri, since using Stone Forge across an It That Rides and a Lone Rider is a pretty common and obvious play. But when your troops attack, the It That Rides stack will generate enough lifelink that the boosted Lone Rider will vanish and turn into a +4/+4 on the It That Rides, which is actually less power and toughness than your boosted Lone Rider was to begin with. Also you lose the Lone Rider’s combat damage completely for the turn in that scenario because the Lone Rider stack vanishes before it does damage and after the damage has been inflicted by the stack it is now joining.