That sim in the picture looks like it is walking down the stairs and is moving into the next level down. My sims appear like this when they are moving between levels.
The issue with the objects 'dropping through the floor' to the next level down first started at about the time the world, Lunar Lakes was released.
I've got a long list of objects that do this in my game, haven't noticed bales of hay though. My list includes most of the plants found in build mode. I place them carefully so they don't sit directly above a basement. Other objects such as wishing well, roller skating rink etc I have found will not sink below the ground level so I place them only on ground level or the bottom basement level.