Bumped into the same problem today and found some interesting rows in SMSPXE.log:
Found Image file: E:\RemoteInstall\SMSImages\ABC00002\boot.ABC00002.wim PackageID: ABC00002 ProductName: Microsoft® Windows® Operating System Architecture: 9 Description: Microsoft Windows PE (x64) Version: Creator: SystemDir: WINDOWS SMSPXE 2012-04-16 13:54:16 4668 (0x123C)
Closing image file E:\RemoteInstall\SMSImages\ABC00002\boot.ABC00002.wim SMSPXE 2012-04-16 13:54:16 4668 (0x123C)
It seemed a bit odd to close (read: unmount) the wim before the required bootfiles are copied.
My solution was to manually mount the boot wim's to the specified folders with Deployment Tools Commandprompt and the command (Repeated with the package ABC00001):
dism /Mount-Wim /WimFile:E:\RemoteInstall\SMSImages\ABC00002\boot.ABC00002.wim /index:1 /MountDir:E:\RemoteInstall\SMSTempBootFiles\ABC00002
To my surprise the PXE worked flawlessly even after I unmounted the wim's and rebooted the server.
Before this sulotion fixed my problem I tried to reinstall DP and/or PXE, rebooting the server, manually installing/reinstalling WDS, changing NAA (Computer / SCCM / Domain Admin) without any success.
Hope this helps someone!