Settings are saved just fine. If they don't on your system, it's possible it's a problem caused by a faulty antivirus, that is blocking the program from writing files. Be sure you add the whole Addon Manager to the antivirus Exclusion list.
If that doesn't fix it, it might be a permission problem on your user account, so you can try this:
- Remove this folder:
%APPDATA%\Virtuali
- Reinstall GSX