I believe this is the bezier circle accuracy problem that comes up from time to time.
The issue is that circles constructed from bezier curves are necessarily inaccurate.
If you copy and repeat that rotation multiple times, you'll find that the small ellipse tends towards the inner of the lines at around 22.5 degrees, then back to centre at 45 degrees. This is because ellipses made from four anchor points bulge slightly compared to a 'true' circle where the red lines are in this example:
The difference is tiny but apparent in situations like yours. This is not strictly an Illustrator problem, but one in any software that uses bezier curves to construct ellipses.
You can mitigate it by creating circles from more segments. I use this circle script:
Circle – scripts for designers
I replicated your construction with a 32-point circle. This is the small ellipse at the 8 degree point:
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