It seems unlikely that the system is failing to call the exit routines in 
the circumstances in which it is documented to do so. 

Have you tried putting a SLIP trap wherever the call is initiated to 
confirm that your expectation of calling the exit matches the reality?

Are you certain that your IEFU29 is defined properly? There is not one 
single IEFU29 exit. There is, for example, SYS.IEFU29 and SYSSTC.IEFU29 
etc.
Doing various DISPLAY PROG,EXIT's can make sure that you have all of the 
IEFU29's defined that you want and that your exit routine is associated 
properly with each. You might even try using a name other than IEFU29 
(there is no need to use the name IEFU29 for your exit routine) with 
appropriate EXIT ADD statements in PROGxx.

Peter Relson
z/OS Core Technology Design

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