Some background: I full formatted the included card with SD Formatter last week and it worked for a few hours then went back to no permissions. This was after formatting the card using windows and formatting it on the phone to no avail.
(As a side note, when you say format you should note whether you formatted in the phone, used windows/mac to format, or used the official SD Formatter located here:
SD Formatter 2.0 for SD/SDHC - SD Association. It might help pinpoint the issue.)
After I got the error again I used SD Formatter to format a spare 8gb card I had lying around (it's a kingston and not sandisk like the included one with the phone), and stuck it in the phone and it has not given me the error since (with me trying different things to force the error to come up).
So I just took the card that was originally in the phone and tried to see if I could get some sort of error in Windows with it to see if it was bad or defective or something. Formatted it, copied over 3 gigs of photos, moved various numbers of files, deleted the files, etc and everything seems fine. Ran checkdisk and every other disk checking utility I could think of and everything came out to be fine.
Put the card in my camera and had no issues.
Decided to put the card back into the phone, messed around and tried to get the error and believe it or not I could not get it to reproduce.. so I'm not sure what the issue could be. I'm still going with my SD card instead of the one that came with the phone.
One thing to note is that the way HTC did the SD slot is ridiculous. I need tweezers to pull the card out. And the battery cover isn't that great either.