We just had this happen today. The Sales guy entered an order. When he completed the 4th line item, he pressed F10 to save the order (back in the days of DBA 9x.x, F10 was the save key and it is impossible for me to get anyone here to change! AARRGG!!!) Sorry, I digress.
To continue, after pressing F10

he immediately printed a packing list and acknowledgement from the handy dandy popup box. From this point, we think he stayed in the SO-A Opening Screen. He took the Acknowledgement and packing list to accounting. The lady in accounting wanted to look at the order on her screen. She clicked SO-A, went to the bottom, but it was not there.
I then went into Maintain Database, and confirmed that there was no trace of the order header, or order line Items. I checked the Sales Order Counter, and it was set to the next order number after the one that is now gone.
Very Strange.