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That is a feature of Bitcoin-Qt. Unconfirmed dust transactions don't enter the memory pool, so they are not relayed, not included in blocks being mined, and not displayed by the wallet.
If I recall correctly, if they DO get mined into a block by somebody then they are displayed. Ignoring them and not adding them to the wallet in that case might be a nice feature, although today's dust might be tomorrow's treasure if prices rise another couple orders of magnitude.