Hot to maintain EXIF Data
I also have this problem, but sporadically. Sometimes the data are imported, sometimes not. (I never change my settings inside PS CS 5, so I have no idea why this anomaly occurs.
Do you always open your image with PS or maybe copy and paste from your image viewer? With the default settings, the only times I've noticed that it doesn't retain the EXIF is when the image is pasted into PS from an external source (or pasted into a new image from within PS), and when you save for web.