Last week I managed to deploy the same form to a totally different server without having to recreate the data connection and this week I found out how I did it (yes sometimes you get thing the other way !)
SOLUTION :
Re-publish the form to the new server but before clicking the last step of the Wizard make sure you tick the box “Adjust data connections to the new location”.
Don’t miss this chance ! If you miss this tick box it will not offer it to you a second time as InfoPath think you always wanted to publish the form to server http://server1 and use data connection to http://server2 .
Voila !
So we can like Data Connection file saved on SharePoint data connection libraries again !
Francois