I have such problem:
1. I select a custom taxonomies and click Update Media
2. I go back to Edit Media screen
3. Checkboxes are not selected.
of course I added a filter in functions.php
While Categories behaves correctly - they are saved each time. Only custom taxonomies aren't.
I don't know if settings aren't saved into database or they just aren't correctly displayed..
( BTW I have created custom taxonomy with this plugin http://wordpress.org/extend/plugins/types/ )