I'm using Thg version 2.5 and noticed that when I go and edit the mercurial.ini, which I symlinked into a different location, it breaks the link. Instead an ordinary file will appear there. This suggests that Thg is first deleting the file and then creating it anew.
Normally symlinks should be handled transparently, but deleting it here causes the issue.
I'll have a look at the code to see whether I can do anything about it.