I've had UAE set the readonly flag on files that I copy from read only disks (usually CD) onto the UAE hard disk... That's probably what you're seeing....
I've run into a similar, yet different problem with WinUAE. I think mine is actually GUI-related. Whenever I choose a HDFile for my hard drive, it selects it as "Read Only." I can add a checkmark for the "R/W" option, and it promptly removes it when I go back and view it again. If I set the check on it and just start the emulation, it mounts the drive as read-only, anyhow. Very annoying. Not sure how to fix.