While georeferencing a raster, after adjusting the data frame rotation, the raster returns to its original location.
This is a result of having too many geometric transformations happening at the same time. Data frame rotation is simply another layer of transformation, and the dedicated algorithm cannot process the additional complexity.
Reset the data frame rotation to 0, then click Auto Adjust to the checked on (or off) and then back to the starting position.
Data frame rotation is not supported before, while, or after adding georeferencing control points.