Here is my code:
\documentclass{article}
%\usepackage{unicode-math}
%\setmathfont{Latin Modern Math}
\begin{document}
The letters $a, \ldots, z$ are used.
\end{document}
It produces this output, when typesetting with XeLatex:

If I uncomment the second line, I get:

If I uncomment the second and third lines, I get:

My questions are:
(1) Are these the expected/correct results, or does it look like my TeX or font installation is somehow messed up?
(2) I suppose the third result is a consequence of the design of the ellipsis character in the Latin Modern fonts. Is this design as intended, or is it regarded as a bug? I personally don't like how it looks, but that's just a matter of taste, I guess.