Yes, you can't just save it with 2003 compatibility and expect it to work. Saving it as 2003 means it can only have things that were available if you built it in IP2003, which removes all the benefits of using 2007.
All of your users should be on the same version of Office. If not, that is an organizational problem that must be addressed. If you are going to be required to accommodate older versions of Infopath, then you're going to have to remove all that functionality from your form that isn't supported in 2003. For one, the object model is different, so any code written would have to follow the 2003 object model.
If you have MOSS Enterprise, then you can switch to browser-enabling your forms so that all users can access the full 2007 version without even having to have InfoPath.