When you make changes in the CF Admin, they are supposed to be written out to the various neo-*.xml files (like neo-datasource.xml for datasource info), found in the cfusion/lib folder. Sounds like somehow that file (or those files or that folder) are not able to be written to by CF.
Are you responsible the CF setup on your server? Is it a Windows or Linux service? Is it running as a user other than "System" (in Windows) or "Root" (in Linux)? If so, perhaps the problem is that the user you or someone setup to run CF was NOT set to have write permissions to that cfusion/lib folder.
Let us know how things go.