It works correctly for me with freshly created text & rectangle objects -- horizontal gradient on the rectangle stays horizontal in the resulting Intersection path object. What version of XD are you using?
Also, are you able to correct it after the fact by opening the gradient editor popup and adjusting the direction using the on-canvas handles?
My XD Version is the newest. I got the problem: First I set the gradient and it's vertical by default. To adjust the direction I rotated the rectangle. Then the gradient was horizontal. If I use the pathfinder now, it switches back to a vertical gradient. If I change the gradient direction like you told, then it works correctly. Think this is a bug?