When an event is set to repeat, data in custom event fields isn't carried over to the repeated events. Similarly, if custom fields in a recurring event are edited and the edits are set to overwrite all the occurrences, only the edited event will retain the custom data.
The data in custom fields is saved for the specific instance that's being edited, so no data is being lost - it just has to be added manually for each repetition of the event.
(I've only just noticed this in 4.6.4, as we've not used the recurring events option before, so I don't know if it affects earlier versions. And I was able to reproduce the problem in the demo site running version 4.6.6)