Making changes to a Smart Group's distribution list persistent
Distribution lists are not persisted for smart groups. On Lion, if you search Address Book help for "distribution list", you will see a page called "Select addresses for group members". Below step 2 is this piece of bad news: "You can't choose smart groups."

Some versions of OS X show smart groups in the Edit Distribution List window, but as of Lion, this is simply the user interface being misleading.

Speaking of Lion, users who use iCloud for contacts will see the Edit Distribution List menu item disabled, because this feature is not yet available with iCloud.