The reason the filenames don't appear on the various tabs has to do with the way those settings are treated. You've got two basic items: settings and preferences. Settings are part of the tournament and are saved with the tournament (buy-in cost, tournament name, prizes, etc). Preferences are not directly associated with the tournament, but have more to do with how the application behaves, and are saved automatically separately from the tournament (currency symbol, whether or not to show decimal amounts in prizes, etc).
Settings on the Prizes, Rounds, Layout, Chips, etc, tabs are all saved as part of the tournament. However, because these items group logically, the software allows you to save those settings independently from the tournament as a template. This makes it easy to configure your rounds schedule, for example, if you use the same schedule a lot. Start up a new tournament and just load your saved Rounds template. However, when you load a template, and then make changes, you're not making changes to that template, you're making changes to the tournament. The software has essentially "forgotten" that you've loaded a Rounds template, as those settings are, as far as it is concerned, just part of the tournament.
This changes a little bit in 2.6, as the layout is now considered a separate item from the tournament (but preferences do allow it to behave in the "old" way as well). So I will be looking into adding the Layout filename on the Layout tab.