Make sure you have the latest version of Camera Raw that works with CS5 (ACR 6.7). That will help some.
Lightroom 4 has new adjustments which are still not compatible with ACR6.7 and you need ACR 7.x for the image to transfer properly into Photoshop with the adjustments intact. ACR 7 and higher are only available with Photoshop CS6.
Your choices are to:
1. Upgrade Photoshop to CS6
2. Allow Lightroom to render the file into a flat Tiff/PSD before sending it to Photoshop. If you are not receiving the prompt to render the file in Lightroom prior to sending it to Photoshop, you will need to reset your warning dialogs. Preferences>General>Prompts
When you use "Edit in Photoshop", the ACR version that is available becomes relevant.
Photoshop CS5 does not support the ACR 7.x versions which would have maintained full compatibility with Lightroom 4.x.
Photoshop CS5 supports only ACR 6.x versions, which are fully compatible with Lightroom 3.x but only partly compatible with Lightroom 4.x.
When ACR 6.7 was made available, this restored some compatibility to CS5 so that Edit in PS worked fine much of the time. However subsequent updates of LR4 have drifted a little out of sync with that - although matched ACR 7.x updates have allowed Photoshop CS6 users to keep 100% intercompatible.
When a non-compatible version of ACR is detected by LR (one which cannot be guaranteed to interpret the LR settings correctly) LR brings up a dialog where you can select either "Render using Lightroom" or "Open anyway" or "Cancel". The first option guarantees an accurate conversion, since it is then LR not ACR which is made responsible. The second option still has ACR do the conversion, despite the incompatibility.
If you are not seeing this option presented each time (perhaps because you have previously checked the "don't show again" box) - you can re-activate it in LR Preferences / General tab / "Reset all warning dialogs".
Trouble is, the OP says he loses some of the settings even when he chooses to open a copy with Lightroom adjustments. I wonder what else could be interfering.
Depending on the file type, either (if it's Raw) "edit a copy with LR adjustments" is the only choice possible, or else (e.g. for a TIFF or JPG) there's a dialog where you choose whether to "edit original.", "edit a copy (of the original, without LR adjustments)", or "edit a copy with LR adjustments".
It's only with "edit a copy with LR adjustments", that this other dialog comes into play. It is the failure to then correctly achieve these adjustments, that is the problem AFAICT.
This does not apply with the "edit original" or "edit a copy of the original" choices, since in those cases, no LR adjustments will need to be involved.