Tell me more about your data source. Excel? Tableau Data Extract? Etc.?
I run into this too.
At our shop we use all TDEs (and some excel here and there.) We always manage our TDEs in a workbook that is separate from the actual workbook from which we publish our user-accessible dashboards. In all cases, in the data source workbook, we attach to Microsoft SQL Server, connect to a stored procedure, and that's how we get our data source. From that workbook we create a TDE, and publish it to the Tableau Server. Then the actual user application workbook uses the published TDE.
Our fiscal year starts in October. I find that if I do not set the fiscal year to October in the data source management workbook before creating the TDE and publishing, then when I try to use it in my application workbook I cannot get the fiscal year to stay at October there. Each time I open the workbook, it goes back to January.
But if I set it in the data source workbook before publishing the TDE, then October "sticks" properly for me in the application workbook.
I don't know why this happens. I would expect I should be able to set it to October in the application workbook without having it set that way in the TDE, but it doesn't. I haven't bothered to understand why it does this. I just have a sufficient way to manage it, and that's what I do.
And, for the record, this has worked this way in all the versions of Tableau I have used. From 8.0 to the present.
my data source is published data source in tableau server. Fiscal year for the data source is set to November.