It's possible that the settings.cfg file which is placed in the game folder is blocked from being saved to. First, it may be marked as read-only. Secondly, some other program may use the file and block any changes. You may try to go to the game directory and manually delete settings.cfg file. The launcher will recreate the file with default settings on the next run. If you've got a message that the file cannot be deleted because it is used by some other program, then this other program is the culprit, although it may not be obvious which program exactly is doing that - restarting the system should help.