I don't think it's a problem - I think it's by design. You don't want to make changes directly on the published form.
What I would recommend is that:
1. You create a shared folder somewhere on your network
2. Store the XSNs there
3. When a change is needed, make sure to version your XSNs. So, for example, you might have
ExpenseReport-11-06-2011.xsn
ExpenseReport-12-22-2011.xsn
ExpenseReport-02-02-2012.xsn
4. Save the modified form.
5. Publish the modified form.
6. Test your changes to the XSN
7. If something goes wrong, you open the previous known working version in Design mode and republish it.
Good luck!