This is something that has happened for quite a while now, in fact ever since I threw $5 on the paid ROM Manager.
I decided to get Sapphire 1.0 using RM a couple of days ago. I flashed CW and did a backup of my current ROM in case something happened, and installed the Sapphire and a theme. When I went to Flash Alternate Recovery, I went back into Reboot into Recovery....I didn't have CW or SPRecovery. Just a boot loop, then the phone eventually just turned on and was back to using my phone. I tried to flash alternate recovery 4x and same result. Finally, I flashed CW, power cycled the phone, came back to ROM Manager, flashed Alternate Recovery again 2x, power cycled the phone, then went into recovery mode and finally had SPRecovery.
Today I decided to try a new theme on Sapphire, and the exact same thing happened. Thankfully I knew how to resolve the issue. I'm just amazed that for a premium program that this ongoing issue with flashing back and forth isn't fixed. Has anyone else had this problem?