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With debian-live you can write to the overlay file system in memory, though to save the changes you must make a snapshot file on USB or elsewhere. Anyway, I can reproduce the problem on Ubuntu 10.10 (full installation, not the live disk) running as a virtual machine in Virtualbox.
After looking at man chattr, it appears that ext2 has some file permissions outside the nice clean unix tradition. For example
"A file with the 'i' attribute cannot be modified: it cannot be deleted or renamed, no link can be created to this file and no data can be written to the file. Only the superuser or a process possessing the CAP_LINUX_IMMUTABLE capability can set or clear this attribute."
The change can apparently be made only with the ext2-specific utility "chattr".
Not as nasty as Windows ACL's, but heading in that direction.