InfoPath used to work that way until InfoPath 2007, but this yellow bar functionality was added starting in 2010. I can only speculate about the reasons for this change. It could have been to allow users to use the old version for a while before they decide to update, but I'm not sure.
Oddly, I have found that if the form is accessed via a URL that has query parameters (i.e. a ?key=value&key2=value2 part), the form will update immediately before opening, but I don't think that helps in your situation because the URL in this case is a network share path.