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The first one I'm not sure if it was a bug or a weird event. As Sweden, I was at war with Denmark and only Denmark. I got an event pop-up that said that due to something or other, Prussia was forced to surrender... to me! So I got like a 900 point surrender on Prussia and took some gold. Kinda weird, considering we weren't at war!

Here's the second one:
A few turns later, having conquered Denmark/Norway, I moved my army adjacent to Mecklenburg.

Turn 1: I declare war on Mecklenburg.

Turn 2: I move my army into Mecklenburg and push next turn. During turn processing, a Ultimatum box pops up from Great Britain saying I need to cease and desist in my war against Mecklenburg. Not wanting to get drawn into a bigger war, I back down. I get a second pop-up saying that Britain is violating my neutrality and moving units into southern Denmark. I choose to ignore the violation, again trying to avoid war.

Turn 3: My army is sitting in British protectorate Mecklenburg, and a couple of British units are sitting on my supply depot in southern Denmark. We're still at peace. I order my army back across the border and into my own territory. I push end turn. During turn processing smoke rises from Mecklenburg and it says I have a successful siege. Britain destroys my depot in Denmark.

Turn 4: Despite no declaration of war between Britain and I, and my trying to back down at every turn, I have conquered Mecklenburg, annexed it, and Britain and I are now somehow at war.

Is this working correctly, or was it a bug?

It is possible for Britain to declare war on you due to other reasons, independently of the ultimatum, though there usually is a pop-up message for declarations of war.  Check the political history to see whether there are any such declarations.  Similarly, it is sometimes possible for a nation (Prussia) to be dragged into a war and then forced to surrender on the same turn (nations almost never voluntarily go to war when their national morale is very low, however).  Without knowing more about other situations, it's hard to say exactly what happened.