Just tried to make a birthday gift, tried to fade a sound strip and Blender won't save the mixdown as it is in the preview.
Tested with Blender 2.6 and 2.61 on Windows 7
The file in question was a wma and I saved it as wav.
Well, that's not really a bug, but more a missing feature. If you use the mixdown button you have to make sure the animation cache is up to date. You can do this by pressing the "update animation cache" button which is a little above the mixdown button. I just committed revision 42678, which now automatically runs this always before mixdown automatically.