Whilst doing some testing over the past couple of days I uncovered a bug with the linking of Risk/Issues to Project Tasks in deployments of Project Server 2007 with MOSS.
Note: If you are using EPM2007 with Windows SharePoint Services (WSS), this does not concern you.
Steps to replicate the issue;
1) Create a new project with say a couple of tasks
2) Save and Publish the project to create a project workspace
(click picture to enlarge)
Refer to update here.