Sorry for the late reply. Some important features were included in the latest release and this issue needed to be analyzed.
You can use the following code to update connection string and query.
Dim diagram As Diagram = New Diagram("Drawing1.vsd")
diagram.DataConnections(0).ConnectionString = "Connection string goes here"
diagram.DataConnections(0).Command = "select bla bla bla`"
diagram.Save("Drawing1.vdx", SaveFileFormat.VDX)
Regarding refreshing data in the record set, this feature is not available at the moment but a request in this regard has been logged into our issue tracking system as DIAGRAM-33137. We will keep you updated on this issue in this thread.
Please feel free to contact us in case you have further comments or questions.
Based on the complexity and demand of this issue, it was shifted to 2.8.0 release (October 2012) plan. Now we have also raised the priority of this issue and let you know as soon as the issue is fixed. We are extremely sorry for the inconvenience.