Even though the weathering effect for buildings is enabled in the graphic settings, it still doesn’t display correctly on desert maps for all pantheons.
No, this isn’t a design feature. The building does show a weathering effect in the unplaced preview, but this effect doesn’t appear after the building is actually constructed. Furthermore, the issue is that the building doesn’t show a weathering effect when placed on any sandy surface, not that it doesn’t show the effect on sandy roads as you stated. This conclusion is based on my experiments on many maps and different locations.