I've had the same issue.
I had styles on the formatting and each time I saved the template file, and re-opened it, the AutoText lost the formatting.
Not sure I've found the answer but for the moment this has worked for me.
I "think" I discovered that the "only" way to save a template and preserve the AutoText formatting is by doing File > Save As.
If I click the Close button ... or ... do Ctrl+S ... I think Word has saved my template, but when I re-open, I've lost the formatting on the AutoText.
File > Save As seems to be the only way Word 2010 will save the template and preserve the formatting.
I further discovered that the Close button or Ctrl+S also creates a
.dotx file in the
Temporary Internet Files that has about eight numbers/characters. The Word template file inherits this alphanumeric template in the Building Blocks organizer.
Don't know if it works this way for everyone ... or whether is has something to do with the way Word is installed on the network at work.
I can't find anything about these alphanumeric template files on the internet!