I have tried this scenario is two different ways and the results are the same. FWIW my old Vivoactive HR used to have similar issues when used in scenario 1), but would typically get the correct active calories after a few Garmin Connect syncs.
1) Sync Venu SQ with Garmin connect right before I do a cycling activity that is recorded on my Edge 530 (w/chest strap HRM). Finish activity sync with Garmin Connect - notice that within the main 'My Day' page the 'Active' calorie count is incorrect. However, once you click into the 'Calorie' (via little chart icon in upper right-hand) you will see the updated 'Active' calorie amount in the 'Last 7 days'. When I sync my Venu SQ w/Garmin Connect after all this the Venu still does not show correct active calories, but it does register that I did an activity that day.
2) Same as above, but leave Venu SQ on while doing activity - results in same behavior.