This bug has been around since the release of 4.0. You can find it in PITS (although things aren't easy to find there) and vote on it. It has quite a few votes compared to other issues but still isn't scheduled for fixing. I'm not sure what the hold up is and why Telerik feels this isn't a serious bug, especially when they want to see people moving their sites form the cheap 3.7 to the expensive 4.0 SF.
The only work around right now is to create a custom field and use that. It means that you have to set this date separately and modify all templates used to display news. Then of course should they ever fix it and you wanted to do it the right way you'd have to go back and edit all news items to have the proper published date.
I know it doesn't help but hopefully it prevents you from wasting too much time on it.
Here's a related post for your reference: http://www.sitefinity.com/devnet/forums/sitefinity-4-x/bugs-issues/4-1-still-can-t-set-published-date-for-news-items.aspx