I don't understand how QGIS assigns the band numbers to the input rasters for a virtual raster catalogue. Unfortunately the bands in the compiled virtual raster catalogue will only have the names "Band 1", " Band 2", "Band 3" and so forth, but the name of the original input raster will not be preserved. This causes a problem when trying to create a false colour image (render type: "Multiband colour" option in QGIS) with Landsat 8 satellite imagery.
Using QGIS 2.18 on a MacBook gives me the same problem as you, but on a Windows 10 machine it does show the correct band names.
A temporary solution is to check the Min Max values of the Red, Green & Blue bands in the Layer Properties of the virtual raster. If you have the same bands also loaded in the Layers Panel, their Min Max values will have to be the same.