If you are reloading the lines or cycling through the lines, it is likely that any changes to the line that is getting dropped is not being committed/written by your script so when the grid is reloaded or you come back to the line, its previous state was cleared.

On a new SO, the script runs the first time before I have any lines. Then I enter lines and go to the Totals tab. Then I go back (the script runs again), but the first line is gone.Isn;t it strange that the first line is gone, not the last?

It might be the fact that you are using SetKey instead of EditLine but there is a nuance to EditLine in that it doesn't work on a sales order who's lines have never been committed to the physical file.  SetKey on a detail object doesn't seem to work the way you would expect it to on the header object or a table that doesn't have a header and detail relation.  So the result is that you are causing a disconnect between the grid's lines's keys and the memory table records' keys.  I don't have access to my test system at the moment so this is about all I can respond with at the moment.

Put the LineKey in the grid to verify the line is truly being dropped (there when you click to Totals, then gone when you come back to Lines), instead of just being overwritten (LineKey still there, but with different values).

If you are adding lines, be sure to call: oScript.LinesAdded

I got it to work with Kevin's advice to use retVal = oLines.AddLine() Here are the relevant parts of the script for future reference:

retVal = oLines.MoveFirst()
nCurrLine = 0
Do Until cBool(oLines.Eof)
	...
    retVal = oLines.SetValue("UDF_XXX$",sXXX)
    retVal = oLines.SetValue("UDF_YYY",nYYY)
    retVal = oLines.Write()
	
	If ... Then
		sBackColour = "RGB: 255,77,77" 'Red
	ElseIf ... Then
		sBackColour = "RGB: 77,195,255" 'Blue
	ElseIf ... Then
		sBackColour = "RGB: 170,255,128" 'Green
	ElseIf ... Then
		sBackColour = "DEFAULT"
	End If

	If sBackColour <> "" Then
		colNo = ""				
		oUIObj.GetControlProperty "GD_LINES", "Column", colNo				
		oUIObj.SetControlProperty "GD_LINES", "Column", "0"                 'set column number / 0 for all columns
		oUIObj.SetControlProperty "GD_LINES", "Row", CStr(nCurrLine)        'select row
		oUIObj.SetControlProperty "GD_LINES", "Backcolour", sBackColour     'ser the color
		oUIObj.SetControlProperty "GD_LINES", "Column", colNo               'reset column number
	End If

	retVal = oLines.MoveNext()
Loop


retVal = oLines.AddLine()