Hello Steve and welcome to our forum! The way to think of attachments in InfoPath is just like for Outlook emails. A file attached to the form is stored with that form. When opening the attachment directly you are editing the attachment directly in place. If you open then Save As to another location, the attachment is still where it was, but you've saved a second copy. You can open and save that second copy but it will not affect the attached version.
This is the same behavior when you attach a Word document to an Outlook email message. Does that help explain the behavior?
Shiraz Cupala / Microsoft InfoPath MVPQdabra® Software / Streamline data gathering to turn process into knowledge