Permissions. Those settings are stored in the installtion folder, to which "normal" users do not have write permission.
Run Max as Administrator (either by logging in or using RunAs) then they'll stick.
Max 2016 (SP1/EXT1)
Win7Pro x64 (SP1). i5-3570K @ 4.4GHz, 8Gb Ram, DX11.
nVidia GTX760 (2GB) (Driver 430.86).