Your first post said that you closed it, and you can close it by "okay" or "cancel", I didn't want to assume that you had hit either one. That's why I asked it in that way. I'm not insinuating that you did one way or another, but this wouldn't be the first time that someone tried to change something and didn't hit "okay" nor "apply".
Since you know the difference, I guess you did hit the "okay".
Second part...
Are you using the SpyBot immunize function? And is that keeping your settings customized?
Dave