The Box2D engine that powers physics doesn't support setting some object properties on-the-fly, like density, friction, elasticity, immovable and some others.
To get around this the physics engine resets the physics object when you set these properties, effectively replacing it with a new object. That causes it to lose its velocity, though. It's possible to work around it, if the replaced body gets the same velocity as it used to - I'll see if I can fix this for the next build.