It is caused by a lack of precision with doubles / decimals (i.e. - the function will not always give the result you expect).
See the following link: MSDN on Math.Round
Here is the relevant quote:
Because of the loss of precision that can result from representing decimal values as floating-point numbers or performing arithmetic operations on floating-point values, in some cases the Round(Double, Int32, MidpointRounding) method may not appear to round midpoint values as specified by the mode parameter.This is illustrated in the following example, where 2.135 is rounded to 2.13 instead of 2.14.This occurs because internally the method multiplies value by 10digits, and the multiplication operation in this case suffers from a loss of precision.