I had several data connections to SharePoint Lists, both receiving data, e.g. Departments, Offices, Employee Details and RetrieveIDs, plus a submission to a Form Library.
I was using a SharePoint Document Library to store the InfoPath 2010 Templates and once I set up the data connections, previewed the form and published it, the next time I opened the InfoPath Form to edit the template, the data connections had changed to the site of the library.
As an example, I had a data connection to Retrieve the offices from http://intranet/site/lists/offices/allitems.aspx. After publishing the InfoPath Form to it's form library on http://intranet/site/HR/NewStarters saving the template to the form library http://intranet/sites/it/appdev the form worked fine.
However, when I needed to edit the template, by opening it from the library, all the data connections had defaulted back to the same URL as the template library http://intranet/sites/it/appdev.
The only way I could get around this, was to move the templates off the SharePoint form library and back onto a network folder.