I've had this bug since the release of Dungeons of Dredmor, and I seem to be the only one with it. When my character dies and it shows his highscore on the tombstone, whenever I press or click anything to continue, it disappears from the tombstone never to be seen again. All of my highscores are shown to me once I die, and then they disappear forever. Not sure what to do ._.
I'd say wait until the 1.0.8. patch comes out to see if it's fixed. In the meanwhile, what OS, etc. are you rolling? To me at least, it sounds like a file permissions issue.
Windows XP Service Pack 3. Not really sure what else to say, that could be related to an issue like this. I have the Comodo Anti-Virus, too.
Try moving your save folder (My Documents/Gaslamp Games/Dungeons of Dredmor/) somewhere else and making a new character. See if that score will stick. If not, I'm out of ideas.