Just wanted to make sure this isn't forgotten...have downloaded chunks of data from the game each day (hot fixes?), but this issue remains.
I can confirm this happens in single player as well. Using special arrows is pretty tedious, as it requires rummaging through the character's massive inventory. I'm not certain when exactly the arrows disappear from the skills bar (no, it's not simply because I used them all up), but their arrangement is not being preserved with saving.