It seems that Squirrelmail keeps Message Filter rules in the cookie in your browser. If you have Squirrelmail open in a Firefox window on one desktop, for example, and another Squirrelmail window open in Internet Explorer in another desktop - you will find that rules added in one window will erase the rules added in another window!
Of course, most users have not installed the multiple desktop Power Toy from Microsoft - so most users experience this problem when they have a window open at home and another one open at the office. In any case, it's the same problem: One browser cookie contains one list of rules while the other browser cookie contains the other list of rules - so changes to the rules in one browser will erase the changes made in the other browser.
What's the solution?
The easy solution is to log-out of Squirrelmail before adding new message filter rules. Note that this is only necessary if you think you might have Squirrelmail open in multiple windows. This way, the cookie in your browser will be erased and re-loaded from the server before you add the new rules - so there's no way to lose anything.
Note also that the rules remain active in each browser - resulting in the possibility of unusual behavior. For example: If you have a rule that moves email to one folder and you edit the rule to move the email to a different folder - your edits will only be active in the current browser. If you were editing the rules in the office while a window is open in a computer at home - the two versions of the rule will run at different times! Each time the browser at home refreshes (roughly every five minutes,) it will execute the old rule while the browser at the office will execute the new rule - so some emails will go to one folder and other emails will go to another folder... not good.
The best solution to these problems in general is to close the browser window at home before you go to the office.