I played around a bit to figure this out, but there a a couple of settings that won't save, even if I save current settings as default.
I clean-installed FPSE, then changed the video mode to High Definition OpenGL. I quit the program and opened it again, then set a few video settings, including Force Landscape Orientation and Original Screen Size. When I go back and quit, then reopen FPSE, these setting stay except for Original Screen Size. No matter what I do, I can't get this setting to be on by default. I switched to OpenGL Soft Advanced, and the setting will stick, just not with High Definition OpenGL. I can get it to save after I load a game for that game, but not as a default for all games.
Also, the Fast CDROM Reading setting will not save. Once again, it will save per-game, but not as a default.
Is this intentional? It doesn't seem like it's supposed to be.