There's probably something wrong with your settings. Desmume can open PKHeX edited DSVs directly.
Maybe you're editing the dsv in a dupe battery folder or something. who knows.
An alternative, would be to save the game, export battery file as .sav, import the .sav into PKHeX,
then save the progress from PKHeX as a .sav (when done editing), then import battery file into the emulator, then soft reset.
When you import battery file, make sure to go with this option: