i am assuming that you need to exit to the main menu before the settings get saved. i had issues with infoGB saving my metroid2 game progress until i exited to the main menu. just keep playing with that option of going to the menu, like right after you set the buttons. or set the buttons then try something like super mario bros. 1 and see if it works. i'll have to get my config file from home and tell you about it later.
PS2 v7 (39001) + 64MB MC
200GB Seagate oem
Retail HDA 2.0 (HDL Fully Patched)
boot = Launchelf 3.4b
exploit = Codebreaker 8.1 Method