The way cube Data Sources work in Tableau is somewhat unique. What you describe sounds like the expected behavior: Cube Data Sources, however, you'll likely run into other situations summarized here: http://onlinehelp.tableau.com/current/pro/desktop/en-us/help.html#cubes.html
As to why would you then publish a cube data source? The main reason I can think of is so you can point all users to download that data source and then use it in desktop, so you don't have to provide each user with the Server Name, Database Name & Authentication options.
Hope that helps!