Mine saves the settings every time, so you must not be powering down properly. Don't just kill power via a console switch or whatever; as cevans mentioned, you must shut down the unit using the power button as directed so it saves everything in non-volatile memory (NVM) for the next power up cycle.
These things are computers and must be shut down properly. You wouldn't just pull the plug on a desktop, you have to let the OS shut the thing down.
Using a console switch to power UP is totally fine, but not DOWN.
"Alive without breath, as cold as death; never thirsty, ever drinking, all in mail never clinking."