We have the same problem, I have just tested it. The scheduled task we are adding is to activate on a Linux LPAR. This has been running for a while without problems, but if we power off and on the HMC the schedule dissapears.
Our firmware version is V4.3.2 with a MH00196 & MH00197 code updates. We have received the latest firmware (V4.4.0) but not applied yet, this may fix the problem. If it does not, I suspect a call to IBM Software Support is in order. Sorry I can’t be of more help, but we appear to be in the same horrible HMC boat!