Today I had an address amendment message for an order, so I 'added' it as a private note on the message page (under where the customer's order shows up). But then when I clicked back onto the order page the note was not there. So I added it again, on the order page and it immediately showed up.
I then remembered that I'd had another address change message last week - and didn't remember seeing any private notes when I printed my orders. Sure enough, after half an hour of checking each message in all 3 shops I finally found it - the note hadn't saved, but it did when I saved it again on the order page. Have apologised to the buyer and have had to re-send the order.
(Yes, I know I'm not protected for address changes, but this has not been an issue for me and I'm not worried about that at this time)
So the problem is - private notes are not saving from the message page, only when entered directly on the order page.
@TemporalFlux: The notes made on a message are shown with messages only, you need to use the private note area on the actual order if you want it to show on the order.