Not sure what to call this bug or future? It seems that in the gui if you select Time Series model->Arima and you try to change the Non-seasonal lag order bigger than 4 you cant also u cant differentiate/integrate more than 2 times. If you want to use lag order bigger than 4 you need to use the cli. If you try to enter lag order 10 for example in the gui and then apply the model, the model uses lag 4.
I dont see a reason why you cant use lag order bigger than 4 or iteration order bigger than 2 in the gui. I am using gretl 1.7.5 on windows XP.