I see problems like this on Steam from time to time. Some ideas...
First, have you got a virus scanner that has some sort of anti-ransomware system in it? Those will often block access to any program that you haven't previously approved. There should be a message popping up from the scanner telling you about it but, if the message is hidden behind something or if you're just ignoring it, then the settings can't save properly. Check your virus scanner to see if it's been logging anything about blocking access to a program.
Second (and a lot less likely) - have you moved your "My Documents" folder somewhere else? Like on another drive? That shouldn't cause an issue with big name games but it's possible some programmer just assumed it would be on the C drive and got burned.