1. I don't think this bug has anything to do with the a UFO - I've had it in all the versions since version 2.1 (when I started playing), and in most of the cases it had nothing to do with the UFOs.
2 & 3. Thanks for your answers.
OK, I've loaded the previous game, played the mission, when the mission was over, there was no UFO on the geoscape. I've returned to the base, let the time pass, saved a few times, and loaded each of those saves. In one strange case, when I loaded a game there was a UFO on the geoscape (it wasn't there when I saved), I intercepted it, saved again, let the time pass, and saved again. And once again - I hit that bug:
The latest saving:
Save 'slot3'
...subsystem 'base' - saved 11495 bytes
...subsystem 'campaign' - saved 373 bytes
...subsystem 'hospital' - saved 2 bytes
...subsystem 'market' - saved 2176 bytes
...subsystem 'research' - saved 6331 bytes
...subsystem 'employee' - saved 24307 bytes
...subsystem 'aliencont' - saved 0 bytes
...subsystem 'production' - saved 87 bytes
...subsystem 'aircraft' - saved 1 bytes
...subsystem 'messagesystem' - saved 35104 bytes
...subsystem 'stats' - saved 28 bytes
...subsystem 'nations' - saved 32 bytes
Campaign 'Shai51' saved.
The latest loading (with this bug):
Loading savegame
...version: 1
...game version: 2.1.1
Global data loaded - size (null)u bytes
...techs: 132
...buildings: 18
...ranks: 8
...nations: 8
Load 'slot3'
...subsystem 'base' - loaded 11495 bytes
Initializing aircraft and aircraft-items ...
...aircraft and aircraft-items inited
Cmd_AddCommand: popup_aircraft_action_click already defined
Cmd_AddCommand: ships_click already defined
Cmd_AddCommand: ships_rclick already defined
Cmd_AddCommand: multi_select_click already defined
Activate stage intro
Activate stage ufos_are_coming
...subsystem 'campaign' - loaded 373 bytes
...subsystem 'hospital' - loaded 2 bytes
...subsystem 'market' - loaded 2176 bytes
...subsystem 'research' - loaded 6331 bytes
...subsystem 'employee' - loaded 24307 bytes
...subsystem 'aliencont' - loaded 0 bytes
...subsystem 'production' - loaded 87 bytes
...subsystem 'aircraft' - loaded 1 bytes
...subsystem 'messagesystem' - loaded 35137 bytes
...subsystem 'messagesystem' could not be loaded correctly - savegame might be broken (3f)
Changing to Singleplayer
You probably noticed this already, but when I save, a certain amount of bytes are saved in the "messagesystem" subsystem (...subsystem "messagesystem" - saved 35104 bytes), but when I load and this bug appears, more bytes are loaded from the "messagesystem" subsystem (...subsystem 'messagesystem' - loaded 35137 bytes). This has always been the case when this bug occurs. When everything works fine, the exact same amount of bytes are saved and loaded into and from the "messagesystem" subsystem.
I would also like to know if other players are having this bug, or is it just my problem? I've checked my computer memory with memtest86 and everything is fine, and I don't have any other problems with my computer, so I don't think this is a local problem.