Hmm. http://ubuntuforums.org/showthread.php?t=1199162 suggests that you also need to tick the box on the Input Devices page to save settings on exit, too. It may be worth trying that, since it seemed to fix it for the person who posted that thread!

(Though for what it's worth, I don't have that option ticked and it saves just fine for me. Then again, I'm using Windows, not Linux.)