It already does, It saves the settings to the Memory Card, it works fine for me anyway.
Do one thing, change those settings, and go to Configure / that is below Browser (mayb i'm wrong whether its called configure or not), anyways, play with the settings and quit that area ( go back to main screen) then start a game. Hopefully all the New settings will be saved. Reset the PS2 and then check, i seem to have no problems
well goodluck