Hello!
I also tried over different platforms and multiple IOS versions. It seems that it's not supported under VRF. There is no problem using it with the global routing in BGP, but not under VRF.
One solution would be to run a check on some prefix (like with IP SLA). The based on the conditions true / false (reachable / not reacheable , exist / don't exist in routing table) to run EEM to add or delete the "network x.x.x.x mask x.x.x.x" statment from the BGP vrf configuration.
Of course this is a little bit complex and add some overhead operations and resource consumptions on your devices.
If I find an alternate solution I will add it here.
Cheers,
Calin