There's a known bug that I'm aware of:
Dwarves that have a hero status i.e. elite marksdwarves, axelords lose their hero status on some occasions and revert to being a regular soldiers
This 'some occasions' you're referring to is, whenever any lord is
deactivated from duty and currently that can happen in the following ways:
1.Whenever you issue a station order,(especially happens if they have been stationed for long) and then cancel it, they revert back to their civilian ways for a short while, THUS LOSING their lord status when they revert back to train or whatever it is they have been scheduled to do.
2.If your schedule involves different orders (1st month:train,2nd month:patrol etc) once the first month gets over, again they will revert back to their civilian ways for a short time and when they go back to their orders (overhere patrolling) they lose their lord status.
3. Of course, deliberately deactivating them from active to civilian.
The mechanism of this bug is that the said dwarf's main skill(say axedwarf), when it reaches great level or higher promotes him to a lord but when this lord is deactivated due to the any of the above said reasons, He has to again get an increment in the said skill(here axedwarf, even a little amount will do), that will restore his lord status.
Currently, the only way to prevent this is to keep a squad training for the whole year round,(atleast that's what I do) and not stationing them for long since that might cause them to revert. I'm not aware of any other means of preventing this.
OR you can just ignore this bug.