Maybe because of this:

m.StoreMessage = .F.
....
FOR ix=1 TO ALINES(laLines,strProcessData)
    ....
    DO CASE 
	CASE m.Segment = 'MSH'
	     m.StoreMessage = .T.
....

maybe in the last message the loop didn't goes through this branch of CASE? What happens if you remove check for StoreMessage in the IF?