emacs transient-mark-mode

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I have installed lenny 5.0.4 and for some reason
transient-mark-mode in emacs does not work as it used
to with etch. I use the same .emacs file as before.

When I set mark with C-SAPCE and then move cursor with
C-f C-b M-f M-b C-n C-p there is blue backgroun and 
transient-mark-mode work as I am used to. But if I move
cursors with arrow keys or when I use C-x C-x to exchange
cursor and mark transient-mark-mode disapears.

What is happening here? Can I obtain old behaviour?

Martin