Yes, I am afraid so.
When doing a 'save as' you do get the dialog box to ask where to save the work but then it doesn't save it.
It is possible to do a save as and save the document with a new name. It appears in the users [network documents] folder in the finder with the current date and time. Excel will even report the document has its name changed in the title bar at the top. Then as soon as you quit Excel the document disappears from the finder - it is gone, vanished with no trace.
I then tried to save to a memory stick, which would suggest not a network problem, and it wouldn't save to the memory stick either with a 'document not saved' message.
I don't know if may be to do with local permissions and temporary file locations, etc. as our users have very little permissions on the local hard drive. I think almost everything goes over the network.