Same problem.
This guy has the correct answers, but is vague on the fix for the disappearing AJAX: http://www.bobzien.com/2010/10/22/google-analytics-goals-with-contact-form-7-the-right-way/
@dbobzien: Can you elaborate on the “extraneous” javascript that you eliminated in order to solve the Ajax message not appearing issue? I’ve been struggling with this for two days and am about to abandon Ajax form submission in favor of redirect. The only change I make to the form is to add this-
on_sent_ok: “_gaq.push([‘_trackPageview’, ‘/funnel1/trackthis.html’]);”
to the Additional Settings.