I've had this same problem in Outlook 2000 and in 2003, but not that often.
I thought I had the issue narrowed down to trying to move a deleted task or
calendar appointment along with a block of email messages to my personal
folder. I archive all of my sent and deleted emails in folders by month and
I have a different pst set up for each year. I don't recall ever having this
problem come up moving mail from my sent folder to a personal folder.

It is definitely frustrating not being able to undo the process and return
the email back to the original folder. I know of only two ways to save the
information and that is to open each attachment and forward the email to
yourself or choose the file/save option in the menu and store them in another
folder somewhere (which I often forget about that folder when doing searches
for all mail containing key words).