Eric,
No, I'm not having this problem. As a test, I just confirmed it by changing my chess piece font, the color of my squares, the background color, etc.
I closed the program and re-opened it and all of the changes were there. They had been saved properly.
The only thing I can think of is maybe the options.dat file somehow became read-only? But if so, I'd like to think you would then be getting an error when the program tried to write to it.
Try deleting the options.dat file completely, so the program then creates a new one, and see what happens.
I have SCID 4.12 and have not been able to get my windows to save even if I save options or if "Auto Save" is selected. I do not have this problem in SCID 4.11. Anyone else having this issue?