I would be really really thankful to you for finding this tricky thing about moodle.
As i'm runnig moodle from localhost in a linux environment , i faced the same problem (when i have changed my moodledata directory path) and could not find the solution.
Thanks a lot for your help.
And one more thing to mention:
Do not change the permission on /var directory to place your moodledata directory there (Coz one level up to the moodle (in /www) is /var) .
It will end up leaving you to install your linux OS again..
Coz in /var there are lots of usable security log files and you will not be able to access them..