I had the same problem with Machu Picchu Wonder...it dissapeared after I conquered the city from a AI civ. So..i searched this forum and after i read all your posts i got an ideea:
When you conqer a city, the algorithm is setted to see, first, the TILE of the city and the buildings in the city and after is looking for the other tiles that city have. SO..IT'S OBVIOUS that, because Machu Picchu has that special requirement to be builded on a mountain 1 or 2 tiles AWAY from the base tile of the city..it appears as an invalid building in that city so it's removed, as it happened to all of us.
The solution: I had a GA and i used Cultural Bomb first to get that mountain with Machu Picchu on my cultural borders and after i conquered the city in the same turn. Because i already had the building in my cultural border when i conquered the city it wasn't an invalid building anymore, because all the prerequested condition are now present...so...it remainded there.
Of course..this is not a solution for all the cases because sometimes you can't use cultural bomb due to the fact that the condition for this are not meeted, but...it's better than nothing.
Have a nice day!