For some people for some reason it can be more complex and involves deleting (or editing if you know how) the .map file for that character-world combination as well. What may be happening is that when you load the new-named world with a character that has already been in that world the game gets confused because that character's .map file says the world should be called what it originally was - it then does you a "favour" and changes the world name back. Regardless of reason, it seems if you delete the .map file it will fix the problem, however, you will lose the associated discovered area of that world with that character. If you wish to do this you will find the .map file at Documents\My Games\Terraria\Players\"CharacterName" - it will have a name like 2027392058, although there may be multiple .map files for that character if that character has been to multiple worlds. Remember to do this for all characters who have already been to that world.