From what I gather, this is an issue of ANDROID itself, NOT HTC. Android is known to have many faults when it comes to "advanced" text messaging, so from what I've understood, if you have used any "advanced" features (e.g. sending a text to multiple people, using push, or anything like that), Android can start messing up in the messages. This be multi-sends, deleting whole threads, etc.
Personally I've not used a "advanced" messaging feature, and have not had problems yet.
The reason text come back after resets (and readding HTC Sense) is that those who are lucky enough to have a full/semi-functional HTCsense.com (i.e. the sms service in this case) will get their backuped sms'es restored in a sync.
To the point that HTC is claiming they don't know anything, that is normal for any phone manufacturer. This summer my father got a Samsung i9000, installed "Kies" to sync it with the PC, and that shit software ruined many vital sync drivers that my father used with other programs. So my father called Samsung, and after yelling at a costumer service person, was set over to the section leader of the costumer service, who then told him it was a known issue, and that Samsung hopefully would have a fix within a period of 4-6 weeks. However this was never told officially to people who then bought the phone...