>>I'm subscribed to Glenn Berry blog
>>
>>http://sqlserverperformance.wordpress.com/2011/03/22/sql-server-2005-sp4-cumulative-update-3/
>
>There is definitely a bug in 2005 with that option. It took me several retries with the script, which was executed successfully all the times BTW, to have the database properties recognize and use the new location.

Yes, as I said, there is a bug there. You need to check the file locations with a script instead and don't rely on the properties dialog that much.