I am using ArcGIS 10 SP1, and having the same issue of disappearing stats, but deleting the pyramid and statistics files did not fix the issue. I deleted the .rrd, .xml, .aux files
I am working with a hillshade grid someone else made (in 9.x) that's a 32-bit signed integer ESRI GRID. I know a hillshade only needs to be 8 bit, but this one isn't. It worked fine in 9.3.1.