Thanks for getting back to me, @anon36967945! 
It looks like the new task is indeed being placed at the bottom of the project due to your Sort type - this is expected behaviour.
However, the deletion of the task is not expected (unless you hit the backspace key as soon as the task is created, this would delete it).
I would recommend reaching out to our Support Team to have them take a closer look at the behind the scenes of your Project as they have access to additional tools that we don’t have here on the Community Team. You can reach out to them by following the steps below: