I took the image above and drew an arrow to the point that's probably giving you the trouble... This a common trouble area for Fender style guitars, especially when you use lighter gauge strings on them. Like I said earlier, you can use some wire shielding slipped over the string to reduce the friction and severity of the contact point... or you can do what I did and just file the point down so it acts as a seat for the string rather than a sharp contact point...

More often than not, when you get a string that's breaking at the bridge it's because of this contact point. Strats and Tele's both have this problem.

Also, the lower the saddles are set, the more severe the angle is for the string at this contact point... that weakens the string even more. So if you have your saddles set really low it may have made the problem worse. Just a few more things to look at. I know you said you got a set-up and that's great!! Hope it's playing better for you... If you have any more probs with breaking strings at the bridge you might want to try a few of the things I suggested, as long as you're interested.