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This is definitely an issue. Looks like you can do it by integrating the real and imaginary parts separately:

a=numerical_integral(real(2/pi*(4*cos(x)^2-1)^(.5)*sin(x)^2),0,pi)
b=numerical_integral(imag(2/pi*(4*cos(x)^2-1)^(.5)*sin(x)^2),0,pi)
a[0]+b[0]*i