we had exactly the same problem a long time ago at one of our customerws with an older version(LDMS 8.8 SP3). We could create the counters but after saving them, they were gone plus the status health icons were not displayed properly. The cause there was a software called emc networker. After removing this from the core server, the performance counter could be safed and the health status icons were working correct. Its worth a try to check...
Thank you for your answer.
I don't use EMC software, but it helps me to find solution:)
I have unistalled Microsoft Visual C++ 2008 Redistribuable 9.0.30729.4148
and Microsoft Visual C++ 2008 ATL Update kb973924 Redistribuable 9.0.30729.4148
Now performance counters are working correctly.