Going in the direction of more generality:
With $\theta(\tau)=\sum_n\exp(\pi i n^2 \tau)$, theta reciprocity describes how the function behaves under the linear fractional transformation $[\begin{smallmatrix} 0&1 \\ -1&0\end{smallmatrix}]$. From this one can show it's an automorphic form (of half integral weight, on a congruence subgroup). Automorphic forms and more generally automorphic representations are linked by the Langlands program to a very general approach to a non-abelian class field theory. Your "Why should we expect ..." question is dead-on. This is very deep and surprising stuff.
In the direction of more specificity, the connection to the heat kernel is fascinating. (In this context, Serge Lang was a great promoter of 'the ubiquitous heat kernel.') The theta function proof is also discussed in Dym and McKean's 1972 book "Fourier Series and Integrals" and in Richard Bellman's 1961 book "A Brief Introduction to Theta Functions." Bellman points out that theta reciprocity is a remarkable consequence of the fact that when the theta function is extended to two variables, both sides of the reciprocity law are solutions to the heat equation. One is, for $t\to 0$ what physicists call a 'similarity solution' while the other is, for $t\to \infty$ the separation of variables solution. By the uniqueness theorem for solutions to PDEs, the two sides must be equal!
A special case of quadratic reciprocity is that an odd prime $p$ is a sum of two squares if and only if $p\equiv 1\bmod 4$. This can be be done via the theta function and is in fact given in Jacobi's original 1829 book "Fundamenta nova theoriae functionum ellipticarum."
