Created attachment 88306 [details]
Start with LO 4.2 only - try to input time with milliseconds. Works only in direct SQL.

Create an embedded Firebird-Database (see attachment).
Create a table with primary-key and a field of the type "TIME".
Format this field with the formatcode [HH]:MM:SS.0000 (Language English(USA)).
Try to put the following value in the TIME-field:
13:24:35.1234
After saving it is shown as
13:24:35.0000
Seems the milliseconds have been gone.
Same behavior when trying this with a form connected to this table.

Try the query of the attachment. There are two fields. One field shows the value of "Time" as time, the second field shows it, as it must be reformatted for showing the milliseconds in Firebird (CAST("Time" AS VARCHAR(13))).
The milliseconds had been gone.

Try the following in Tools → SQL:
UPDATE "Table_Time" SET "Time" = '12:24:56.1234' WHERE "ID" = 1;
(only if there is a field "ID2 with the value '1')
Refresh the query. The query will show the milliseconds in this fields.

This shows: 
Firebird is able to save the milliseconds.
The GUI isn't able to send the right values to Firebird.
The GUI isn't able to fetch the values from Firebird in a time-field or a formatted field.