Saving path for connection file in lyr?

Hello all

We have a strange problem with some layer files that we created that have Mosaic Dataset from ArcSDE.
We open the connection to ArcSDE, load the Mosaic into ArcMap and then save the layer into lyr file.
Then we change the name of the connection file to ArcSDE. When we load the lyr file into ArcMap it's loaded as broken link.
As far as I know the layer file save the properties of the connection (server, user, etc.) and not the path to the connection file.
We checked a few other machines and on most of them it really save the properties and is not affected by changing (or deleting) the connection file.
A few machines have this problem.
Can somebody explain it?

Thanks
Mody