The problem is that when you are assigning the file to an environment variable as in dd_MYFILE then it will not search the location specified in COBDATA.
It instead expects you to provide the complete path name including the filename within dd_MYFILE.
If you assign to just the actual filename in the select assign instead of to an environment variable then it will search COBDATA.
Example:
SELECT MYFILE ASSIGN TO "MYFILE.dat"
ORGANIZATION IS INDEXED
and COBDATA is set to c:\data then it will combine them and look for c:\data\myfile.dat