Hi mellis,
I have identified the same behavior with Quartus version 15.1. (stratix iv gx) In case of Nios II/f the Nios application is booting from EPCS64. If I change in QSYS to Nios II/e just the FPGA configuration is loaded after power on. I'm using the serial flash controller and the method described in that wiki:
http://www.alterawiki.com/wiki/booting_nios_from_serial_flash_with_the_new_altera_serial_flash_controller Nios IIGen2 as well as Gen1 (claasic) systems have that problem. Furthermore it does'nt matter if the Serial Flash Controller or the EPCS legacy controller is used. Just with Quartus 13.1 and below booting Nios (with the EPCS controller) from EPCS works fine.
I don't have a solution but spending the 500-600 ALMs more for Nios II/f.
Jens