We get this with Joshua Approach out in Socal around Palmdale. As soon as we complete our first approach we get a VFR squawk code and VFR altitudes, though we've NEVER been told that we had our IFR flight plan taken out of the system. Then when we're done shooting our approaches, we need to pick up a new clearance back to our home airport.
I didn't realize what was going on for months until one day when they were giving me a hard time about trying to get home. I had always thought that I had simply reached my clearance limit and I needed to get further clearance, but it turns out I wasn't on an IFR flight plan anymore! I need to talk with somebody about that one because it kind of screws up some 135 rules when they do that without telling us that we're canceled.
(I found out just the other day that they were actually canceling us when I asked him if we were still on an IFR flight plan, and the guy seemed to think that completing our first approach was cause for removing the flight plan without telling us. Now maybe after the first approach they SHOULD remove the flight plan, but they've also gotta tell us that they're doing so).