Reproduced on demo site.
1. create membership for contact
2. configure an online contribution page to renew this membership type
3. renew the membership through the contribution page
4. note that a Membership Renewal activity should be created in all circumstances as long as a membership belongs to the same membership organization
attached are all the renewals made through http://dmaster.demo.civicrm.org/civicrm/contribute/transact?reset=1&id=2 on the demo site, note that only the last one has a Membership Renewal activity, because it was done on the 'backend' by clicking 'renew'