OK. Exporting to an OVA/OVF and importing an OVA/OVF will change the MAC. I was however able to modify a test VM MAC just fine after an OVA/OVF creation and import.
What version are you running. There appeared to be an issue with this in 5.1.
Can you verify if you have this patch?
I test modified a VM MAC address and did not get the same error you are mentioning. But I am using 5.5U1 in my lab.