assigned → closed
The issue in your example is not that changes aren't persisted, but rather that "this" inside of a $.each refers to the ''value'' of each entry in the collection. This is how jQuery has always worked and is generally how iterator functions work.
In the OP's example, this[index] would translate to 'please change this'['testA'] which doesn't exist.
Here's an example where this is changed because it's a collection of collections:
Here's underscore's _.each where context is window: http://jsfiddle.net/elgreg/zaErz/
Suggest just using the original object per OP (obj[index]) or $.proxy(obj[index]) if a callback situation is required.