I too have an Axim X30 and also updated the ROM today. I use MortPlayer for audio (unbelievable flexibility). Just FYI ...
http://mort.sto-helit.de/index.html
I repeated your above steps without problem in both Mortplayer and the new media player 10 which comes with the Axim ROM update now available. No problems; the paused file resumed perfectly upon pressing the play button in both applications. So your problem may be just your unit.
I'm attaching two screenshots from Mortplayer: one showing the main interface (my own skin but there are others on the site), and a second showing one of the options screens to make the player always resume at the file AND THE POINT IN THE FILE where the player was when it was closed. I allows bookmarking of where you are in a file too. So there are actually two ways to return to the point in the file where you were: i) just turn the player off, and whenever your return, there you are; or ii) bookmarks.
Good luck,
steinm