Nothing is wrong with it, except if you use Code::Blocks as a no-project-text-editor.
In that case, it fails miserably, as there is no visual clue whatsoever.
(EDIT: Oh, you mean the bottom right corner...
I thought it might help to display a (R) in the title tab, but that turns out to be a real pain...
EDIT:
I never even noticed that the status bar showed "read only" for these files.
Huh...? What...? I never saw that either