Strange behavior. I have a precomp in a main comp where I would like to position it in Z space. If I change the Z value, only the anchor point moves (together with the XYZ - red-blue-green indicator) but not the actual precomp.
However, changing the X and Y, works just fine.
I would check that your comp view is set to the camera and not one of the orthographic views like front or top. If that's not it then it could be that your pre-comp has collapse transformations turned on but the layers within the pre-comp are not 3D.