That's pretty odd, I haven't had that happen. Are you playing on XBox or PS3? If you are playing on PS3, trying deleting you game data and reinstalling. It's unlikely, but possible that there is a slight glitch in your gama data that is preventing the move from saving.
Remember, delete your GAME data, not your SAVE data. If you need to know how to do it I'll send you a link.
If you're playing on 360 I can't help you, but I haven't heard of something like that happening to anyone. Definitely sounds like a bug.