I am also having issues with modifying partition schemes using existing data.

Here's what I have done:

1. Created filegroup and added files

2. ALTER PARTITION SCHEME partition_scheme_name NEXT USED filegroup_name

3. ALTER PARTITION FUNCTION partition_function_name SPLIT RANGE (value).

What happened is that SQL Server moved the existing data from one filegroup to another. When I look at the partition scheme it does not appear that the new filegroup is included.