Could you try again, please? Also, try turning the setting on/off and relogging/restarting the game a few times, this might help. If your setting doesn’t save eventually, it might need to be looked into. This is likely not intended.
You could also try changing this setting in the .ini file which you can find in the game’s file directory.
This issue may be related to:
This issue should be fixed with 2.4.2. Here are the patch notes: