Sounds like a bug to me. What version of Desktop are you using?
I'm not convinced it is a bug, it may be a lack of understanding, but I do not receive any errors or indication that my relationships are not valid, they just dissappear once the data is refreshed.
We're actually released 9 revisions since then and stand at 7.09. Before you worry yourself too much about this, I'd make sure that both Desktop and Server are up at to the latest/greatest versions.