I also had this issue when working on a really long post full of embedded tweets to demonstrate live twitter coverage of a meeting (not yet published).
Anyway, I got the occasional issue with the embedded tweets vanishing and just the URL remaining. I kept restoring previous versions and got really frustrated.
It all seemed to happen (as cspowers noted) when the formatting altered: either when I did something or when inserting an images changed the alignment without me wanting it to.
I had almost finished the post last night and the issue had completely beaten me. I'd checked, unchecked and rechecked the box to enable embedding, restored almost every previous version and even copy and pasted the entire post into a new post.
Woke up this morning with new energy and tried pasting the entire post into a new post as plain text. YES! It worked, although I'd have to go through the entire thing and correct all the paragraph spacing, which may cause me problems again.
So, I tried simply cutting and pasting the first tweet back into the post as plain text, just to see if it would work and I could then do the rest of the tweets.
Bingo! When I previewed it, all the embedded tweets had been restored!
I've saved it and left it alone for now. It's a great feature, but I think there are still some bugs to iron out.
Hopefully this will continue to work for me and may work for some of you.