I just found this: http://sourceforge.net/tracker/index.ph ... tid=640434, so I set paths with no special chars (e.g. german Umlaute, french accent letters...), now LMMS has kept my settings through 10 runs. Maybe it's just special chars in the directory paths and file names.
this could very well be the reason. Its a nice find!
It would be good if someone that has had this issue will post here if they can fix it this way.