If you have configured any client to restrict permission to save a protected baseline then you might be unlucky enough to see this one, basically restricting this permission causes the next save to completely delete any previously saved baseline!
Not exactly what you meant when you tried to ‘protect’ that baseline is it?
Anyway I just noticed while researching another issue, that this has now been fixed!
Quote from KB958138:
“On the Edit User page in Project Web Access (PWA), you select the Deny check box for Save Unprotected Baseline. When you try to save a existing project file to a new file, baseline 0 through 10 are removed.”