Hi BitFlipper - thanks for replying, that's useful information anyway.
My issue sounds possibly related to yours. I've a sensor sending 43 bits of information, and the Netduino only picks up around 30-40 - I've found that it "loses" interrupts in the middle of the signal.
I'll keep looking for a solution
Jeremy, it sounds like your issue is a bit different. In my case I simply needed to know about the last transition, whereas in your case, you need to know about every transition. I'm sure if the issue was fixed, it simply did something like check at the end of each notification that was sent whether the last value that was notified matched the actual pin state. If not it would send a new notification to get everything back in sync (and keep doing it until the actual pin state matches the last sent value). Such a fix won't handle your case properly where a series of fast intermediate transitions will still get lost.