Adding an alert via the Team Foundation Power Tools Alerts Editor (October 2008) is innocent enough:

If you close and reopen the Alerts Editors, the alert definiton is still there (in the above screenshot for "A work item was assigned to me"). However, closing & reopening VS is a different thing - now your alert definition is gone - poof, vanished mysteriously.

It took a while and quite a bit of searching, but finally I found out why and made a slight change:

The username that is pre-filled in in the "Send to:" field doesn't work - you have to use your email address! That much for trusting defaults, but I'm more than happy that it now works as advertised.