I'm on version 2.0.0.21 (20090302) of Thunderbird (and Firefox 3.1.10).
I think it just started happening this week and at first I thought I'd done something wrong (I had been deleting emails and moving around subfolders and generally tidying up my email) but I can't get any filters to stay after Thunderbird is re-started.
To answer the questions that were asked of MPMcMahon:
#1 I have 11 accounts (some of which will be going soon which is why I was tidying up in the first place

Looking at my default file profile I still have the msgFilterRules.dat under the mail folder. I've having problems finding which folder relates to the email account where the message filters are vanishing. I've set up a new filter message and can't find it in any of the msgFilterRules.dat files.... so now I'm confused.
By the way I also have a new tmprules.dat folder under my email folder in Thunderbird.
Something else I've noticed (not sure whether it's important or not) when I click on a mail account and the message filters it shows that for one account (su4all) it still has some message filters still set up. However when I scroll through the filters at the top of the message filter box (for the different email accounts) it doesn't show that of message filters even when I scroll back to su4all again.
So it appears that other message filters on other accounts are still there - the one where the message filters are vanishing is the first one in the list.
If you want me to start another thread rather than add to this one let me know but I think it could be the same problem....
Regards,
Karen