Hi,
# uname -a
Linux test 2.6.18-92.1.18.el5.028stab060.2 #1 SMP Tue Jan 13 12:18:59 MSK 2009 i686 i686 i386 GNU/Linux
# iptables -L
Chain INPUT (policy ACCEPT)
target prot opt source destination
Chain FORWARD (policy ACCEPT)
target prot opt source destination
Chain OUTPUT (policy ACCEPT)
target prot opt source destination
ACCEPT all -- anywhere anywhere owner UID matchroot
# vzctl exec 101 iptables -L
Chain INPUT (policy ACCEPT)
target prot opt source destination
Chain FORWARD (policy ACCEPT)
target prot opt source destination
Chain OUTPUT (policy ACCEPT)
target prot opt source destination
Please, specify your kernel. I cannot reproduce the issue. The provided rule was aplied on the HN (and iptables -L command showed that it appeared in OUTPUT chain), but there was nothing inside VE.