This is a bug that is, perhaps, related to other reports. But since the behaviour is sufficiently different, I thought I'd note it here. Perhaps someone can shed light on it.
I've set up a blog with four custom fields.
If I enter the header and blog text, then go directly to entering data in the Custom Fields, then click the "Save" button, a couple of the Custom Fields disappear.
If, however (and this is a tip from a googled site) I click "Save" before entering the Custom Fields, the Custom Fields data "sticks" just fine.