Version:           2.1-beta3 (using KDE 4.3.4)
Compiler:          gcc-4.3.4 
OS:                Linux
Installed from:    Gentoo Packages

When creating a new file on a vfat file system, Kile reports:
"The file xxx.kilepr could not be loaded, as it was not possible to read from it.
Check if you have read access to this file."
The kilepr file is not created. However, a project directory and initial document -as specified in the new project dialog- are created correctly.

If I create the same project on a reiserfs file system this problem does not occur.
If a project created on reiserfs is copied to vfat, Kile correctly opens the project, but does not update the project file as changes are made to the project.

I noticed that on the reiserfs file system the filepr file is create with permissions -rw-------, while tex files have permissions -rw-r--r--. Don't know if this is significant.

The problem was first observed in Kile 2.1-beta2 and persists in 2.1-beta3. In 2.0.3 I did not observe this problem, although I'm not 100% sure, I used this functionality in that version.