Hmm? Last time I tried it, it worked for me. (Maybe your using an outdated version of sm5 or something?) However, relating to the topic, I would like to make a few points...
1: AVOID SM4 for making simfiles. Last time I tried it, it sets off the notes completely after saving. (It's also the most bugged version I am told.)
2: 3.9/3.95 are a bit old but, they are pretty decent/stable builds.
3: However, I highly recommend using SM5 for simfiles. It's the best editor that I know of thusfar.
4: If your feeling bold, you can always try notepad. (Although, this is much harder unless you know what you are doing...)
5: Game type Lights/Techno are still in progress. (as of SM5 Beta 1a)
6: PIU couple seems to be messed up in the editor. I reported this so, hopefully, it will be fixed soon.
I also want to mention they changed something that I did not know until I asked on their IRC. The alter menu (used to be enter) is now the 'a' key. Hopefully, a lot of you know by now. I sadly never noticed the change until I asked. :\
edit: If your feeling up to it, try one of these newer/nightly builds. (
http://smnightly.katzepower.com/)
~ SpoOkyMagician