Yes the problem is a known issue in how the game manages the data mods. Let me explain you:
- game runs on its own data set Aoe2DE data as default.
- when you select a mod from the dropdown menu it’s data set is loaded in the background and the game runs on it.
- when you restart the game, the game resets to original DE data set.
- the game does not load the appropriate dataset for a saved game automatically. It just runs it on the data set running in background.
- new/replaced units introduced by a mod will become invisible/revert to original for any savegame.
How can you fix this issue?
- You can pre-load a game with dataset in a skirmish game and then load the saved game.
- You can copy the files from mod directory to game directory and replace them to directly apply the mod.
This guy is raising the same issue for option to permanently activating a mod data set: