Thanks for posting. Sure enough, when I try to Save/Send as PDF or even Save/Send as Excel, the filename will not hold and I get 'Untitled' as the default name. I tried changing the filename several times and each time I re-created the issue, the default name was 'Untitled.'
My tests included a brand new database using FileMaker Pro 9v3 on Mac 10.5.5 and Win XP sp3.
While the software isn't picking up the filename as we'd like it to, I'd be a bit reluctant to jump on this as a 'bug.' It may be more proper in this case if we fill out a feature request which you can do here: http://www.filemaker.com/company/feature_request.html
I'd fill it out for you, but there is some specific information that may be better suited for you to fill out.
Let me know if there is anything else I can clarify for you.
There is an article in our Knowledge Base documenting this behavior. Look at: