I haven't been able to send any graves to the cemetery since installing Pets. The ghost waves good-bye, I exit the lot, enter the graveyard, and... nothing's there. Interesting note: the first time I tried it after Pets, I saved and continued to play the lot. The family member visited the cemetery and the graves were at the phone. After sending him home and returning, they were gone.
Hmm, that sounds like an old bug that was fixed in the latest OFB patch. Of course, the Pets code is based on pre-patch OFB code, so some of the old bugs are back. Come to think of it, I think I had a grave disappear on me too, but I never sent the sims to the cemetery to see if it was there. I'll have to try that.
A temporary work-around until Maxis fixes it (again!) is to have a rich sim buy the cemetery. When the owner goes there, he/she can permanently move the grave, and it'll appear when family members go there on their own.