ATG Nucleus is responsible for instantiating and initializing components classes. For global components it creates a single class instance per component per JVM. When you change a property value of the component through Dynamo admin, it essentially gets hold of the running instance and call its set method passing your changes value.
Using dynamo admin you can only set the values for global scoped components. Also Bravo mentioned the changed values will be lost on server restart as it only alter the in memory object and not the underlying properties file. To change the properties permanently or to change request scoped property you can use ACC which writes the changed values into a properties file.