I had that same problem with a couple different apps. Some stayed, others would vanish. I eventually just changed to LauncherPro for other reasons so I never fixed it. I did find that on one, I would move the icon to another screen and it wouldn't disappear anymore (or so it seemed until I switched).
I'm having the same issue with Angry Birds and the Verizon Galaxy Tab. Keeps leaving the homescreen. Found a couple of other people with the same problem on other forums. I think it's something that Angry Birds/Rovio will need to fix. Just doesn't make sense because it's the only app that is doing this for me.