It seems that ,cd command from the REPL, which I think runs (swank:set-default-directory), does not work correctly with CLISP. It works _once_ but after that it doesn't change the directory anymore. CLISP's (ext:cd) works as longs as I don't touch REPL's ,cd command After that (ext:cd) stops working.
My Slime is up-to-date version from Git mirror and I can see the bug with CLISP version 2.44.1 and 2.48.