Lotus Geek pulls out this hair so we don’t have to :
It appears that if a Web Query Save (WQS) agent doesn’t have the proper credentials to run, it simply prevents the document from writing to disk – no errors, no weird return code to the user, no symptoms at all – nothing. I thought it would write something to the server log, at a minimum, but it doesn’t. Incidentally, the server is 6.5.1.
of course if this was a MS product you would be able to do this (hence the security issues and such)