Rotation still happens in parent space, you're looking at a lie.
By default the rotation manipulator is set to display axes in local mode. While in this mode, if you rotate your gizmo more in various axes, you will soon notice that rotating along one axis starts changing the values of other tracks of the euler, not just your picked axis. You should read up on gimbal lock to understand why, and how it works.
If you want to see actual axes that correspond to the euler tracks, you need to set your rotation manipulator to gimbal mode. Then you will notice two of your axes can actually overlap and you end up not being able to rotate in a 3rd axis. Again, read up on gimbal lock; if you're rigging, you should know how it works.