Hmm, I also once had that problem in that the save file for Mt Battle would delete itself, but it is only the second time I've heard of this happening though. It may be that its down to bad memory cards or the such, or simply that in that aspect, Colosseum may have some errors in keeping the save files for Colosseum mode, and with that there's nothing you can really do about it.
Try another memory card perhaps if you do have another, and also try to limit those saves as well, and have a big long push as you approach the end so that you don't have to risk saving too often and having the data corrupted, is all I can say. It only ever happened to me the once anyway, I really do doubt anything else can be advised, so shall close this. (If you DO happen to know what's up with this or any other hints at overcoming the problem, then PM the thread opener).