Why is SQL Server losing a millisecond?

SQL Server only stores time to approximately 1/300th of a second. These always fall on the 0, 3 and 7 milliseconds. E.g. counting up from 0 in the smallest increment:

00:00:00.000
00:00:00.003
00:00:00.007
00:00:00.010
00:00:00.013
...

If you need that millisecond accuracy, there's no pleasant way around it. The best options I've seen are to store the value in custom number fields and rebuild it every time you fetch the value, or to store it as a string of a known format. You can then (optionally) store an 'approximate' date in the native date type for the sake of speed, but it introduces a conceptual complexity that often isn't wanted.

SQL Server 2008 has much more precision available. The datetime2 type will accurately store values like this: 2008-12-19 09:31:38.5670514 (accuracy to 100 nanoseconds).

Reference: time and datetime2 - Exploring SQL Server 2008's New Date/Time Data Types

The SQL Server datetime type only has a 1/300th of a second (~3.33̅ ms) resolution, so you are probably seeing a rounding error.

See the MSDN Datetime SQL Server reference

SQL Server is only accurate to 1/300th of a second. It will round values to the nearest 1/300th.

DATETIME does not have infinite precision - you are probably using a value that cannot accurately be represented with the available bits.