Does placement (high side vs low side) of a hall effect sensor matter?
It should make no difference as the sensor just detects the magnetic field emanating from the current-carrying conductor, which is just a piece of metal.  It may act like an inductor, however if the sense wire is coiled up for higher sensitivity.  

The only thing that I can think of is you may have had a bad connection somewhere that caused the drop as you should be seeing the same thing on both sides of the load.