I have had the same problem, and have never found a solution. Some have told me that they use a fixer, and apparently some brands of weathering powder make their own special fixer. I have experimented with mineral spirits as a fixer, and it might have helped. The mineral spirits allow the powder, or chalk, to flow into recesses, and when it evaporates you get a "dusty" line.
But I have to say that nothing I have tried really works well. The commercial weathering powders I bought hold up slightly better than when I used chalk, but would still disappear. I now do as Bish suggested, and leave the weathering powders without trying to clear coat them.
I had exactly what you described happen to me, had a kit that I thought looked good, put a dull coat over it, and there was not a trace of pigment left!