How it works right now:
You have picked Ladys Wrath (THP on Kill)
You chose Virtue of Knightly Temper (Target dies to crit if […])
You kill an enemy with a standard hit and you get THP.
You kill an enemy with a critical hit that would have ended the target anyway and get THP.
You kill an enemy with a critical hit, trigger VoKT and you get no THP.
Its not relevant on lower difficulties, since the GK can just end even legend CWs with a crit to the body. Thats why its hardly noticeable there and starts to get rather annoying when you try the same with cata CWs and dont get any THP. This does not only plague the Blessed Sword, but also the Executioners (did never test any other weapon, since they dont have handy crit chance attacks).
Its a bug that exists since the GK was released and one that only annoys a fraction of players, but pretty please, do something about it.
There is a very short video following this link. Watch the HP bar when CW one, five and three die.
Yes. This got reported a couple of days after his release. I presume either the wording was not making the problem obvious enough, or it not being a bug, which would be nice to know.