Windows Live is just the grown up 'Hotmail'. But, there is a common glitch that may be your problem.

Do you use also have a 'Windows (MSN) Messenger' login email that is different than your 'Windows Live' email address?

They are the same company per se, and they have a separate contact list that can get intertwined.

Other than that, I dont know. Do as Jo said and keep a separate list on your hard drive somewhere as a backup. There is an export function in Live.