data doesn’t set data-* attributes. It manages a data cache unrelated to data-* attributes. It initializes from data-* attributes if there are any present, but never writes to them. To write to an attribute, use attr.
Example: Updated Fiddle
var div = $("<div />")
$(div).attr("data-foo", "bar")
console.log($(div)[0].outerHTML)
What you’re seeing is just one of the many ways this can be surprising. Another is that if your markup is <div id="elm" data-foo="bar"></div> and at some point you use $("#elm").data("foo") to get the value (and it will indeed be "bar"), then you do $("#elm").data("foo", "update"), the attribute remains data-foo="bar" but the data managed by data now has foo equal to "update". But the rule above explains it: data never writes to data-* attrs.