I made the mistake of putting in all my settings when I had both key fobs in the car. The first time I took it out with one key fob, it turned out that all my original setting were with the other one.
With that said, you should have it save your settings if you make them all with only one key fob, so there should not be any reason why they don't save.
Good luck with that. You are the first person that I have heard is having that problem.