Adding class terms to <form> tags with Form API: module or theme?

This, in mymodule/mymodule.module will add 'my-new-class' into the class attribute of a <form>

function mymodule_form_alter(&$form, &$form_state, $form_id) {
  if ($form_id == 'my-new-form') {
    $form['#attributes'] = array('class' => 'my-new-class');
  }
}

This, in mytheme/template.php won't

function mytheme_my_new_form($form) {
  $form['#attributes'] = array('class' => 'my-new-class');
  return drupal_render($form);
}

If I use the hook_form_alter() method, I can see the class name added into the $form array if I dpm() from within template.php mytheme_my_new_form() override. OK, makes sense. However, I do not understand why, if I alter $form['#attributes'] from within the theme override that such changes never show up in the rendered form.

Can anyone explain this to me?

thanks,

jyg