Yeah, I never experienced it in DOA4 either, though for some reason if I had two profiles signed in at once and the one that wasn't mine selected a game mode, all of my characters and costumes would disappear. I could fix it by simply rebooting the game, but it always scared the hell out of me.
I also have not yet experienced this in DOA5, thankfully. I'm on Xbox 360 and I keep a back up on my HDD, with my main save on a flash drive.