When you try this with Excel 2010, is the file name retained is the Data Source? That can be observed by checking the Data Source again in the Ribbon. If I try to set the Data Source of the Pivot in the file Aleph New Report Template.xls to: 'Aleph New Report Template.xls'!ReportData, Excel 2010 converts that reference to simply ReportData after clicking the OK button.
Perhaps it's because I'm using Excel 2010, but I'm not able to replicate several aspects of the scenario you describe.
