That's right. once you call clearml-data close, the completed dataset is immutable. This is a very important feature if traceability is important as once an experiment uses a dataset version, we want to make sure it doesn't change without leaving a trace!
You could also just upload the data (i.e do not call close). Then you will be able to change it later obviously, this will make in intractable.
BTW: the clearml-data stores delta changes, so if you only change a few files it will only store those.