PS3 player with exact same issue here. Also, to add on to this problem...

I log out in a job (let us say WHM). I switch to another job (MNK) and go dilly prancing around in a dungeon for experience and gear. When I acquire an upgrade in gear I'll obviously equip it and save the set to update it. However, it will now always ask me if I want to save over my WHM set. .....and it will always be the class/job I logged out in previously.

Bit annoying.