The closing tag for <li>
in HTML is optional, so its not a bug, though it may not be the behavior you desire.
You could force a closing tag by printing it as XML:
from lxml.html.clean import Cleaner
import lxml.html as LH
text = '<ul><li></li><li>FooBar</li></ul>'
cleaner = Cleaner()
root = LH.fromstring(cleaner.clean_html(text, ))
print(LH.tostring(root, method='xml'))
yields
<ul><li/><li>FooBar</li></ul>