To my knowledge the Mail Data Connection is all client side. When the connection runs it looks to interact with Outllok, the default mail client, to give it the To, Subject, Attachment, Body, in the same way that a mailto html link would. I would have to think that SharePoint is not the culprit but that it has something to do with the client setup and whether it is reporting Outlook as the default mail client. It may be that previewed and published forms behave a bit differently or something else is going on with the client where the default mail client is switching or something with Internet Explorer, which is where the default is set, Tools -> Internet Options -> Programs. You may want to check this through the troubleshooting process to see if this is set correctly and remains correct. I think this is where it is breaking down and is probably not really an InfoPath issue but more on the client side. It may have something to do with you corporate mail/client setups or your individual machine. I am assuming you have tried it on several other client machines witht he same result.
Let us know.