Doug-
This is expected behavior from LR/PS with the current releases and is not a problem. It's an issue related to the file system Save and Save As operations and how the two apps store shared files in system memory.
With LR v2, when you do a regular Edit in Photoshop, the file is opened into memory - no file has been saved yet (as was the case with v1.x).
So, when you're done working in Photoshop, just do a regular Save... (not Save As...). You will be prompted to give the file a name, choose the format, etc. This file gets added to the LR catalog. So you're done there... but don't close the file just yet.
Here's what's cool - with that file still open, you can do more work to produce derivative files (such as sized and sharpened for print; a JPG with custom watermark, whatever), each time doing a Save As...
You can use the History from your first (temporary) file to keep going back to various points, and each time you do a Save As you can get a new file automatically added to the Lightroom catalog - up until the time you close the original Edit file.
Working with files in two different apps can be a little tricky. Carefully consider what a Save vs. Save As will actually do (with regard to the dynamic links between apps) before choosing one or the other.