Anything being played within the browser, exists within the browser sandbox. Website’s can’t just go writing things anywhere to your hard drive for example, as that’s obviously a huge security issue. So there is a place where the “SharedObject” will be allowed to write, and it’s a place that will be wiped when the browser’s data is wiped.
Limited developer control is one of the implications of working with the HTML5 target, which relates to the question your raised in your other topic.