I think I ran into this problem before and you may run into saving other settings for Workbench too (like background picture and things, but maybe not)
For me when I installed several of the files that installed from the 3.9 CD ended up being haveing the Writeprotect bit set. So they were basically read only and that's why settings wouldn't save.
I think I just used dopus and highlighted everything in my DH0: and there is a button ('info' or 'icon info' maybe) that lets you see and tick the setting for readable writeable etc. Then I just changed everything to writable all at once since I had NO idea what particular files wered messed up.
Hope that helps, if it evens makes sense :-)
