mine saves it, 364/365 and even with beta 707. (eng wow client / en hb if it matters)
not 100% sure about it, but i think it saves them when hb is running and it is stoped + even when i got hb stopped & open and iam already on another toon.
you could try deleting the settings while hb is not running and on the next start it should create a file with the default config.
settings are stored in: %hb folder%\Settings\%servername%\%charname%
i had it once that there was a folder unknown instead of the server but that was some time ago (28/01/15).
edit: looks like there was an error in a older release 1.10.16 but according to trello that should be fixed:
https://trello.com/c/rNPrfxPn/147-gb-issue-while-creating-settings-86724132
edit2: since your on the current release (1.10.28.0) i can´t think of anything that causes it, but iam sure deams and justin will help you