The other changes you make are stored perfectly. Hmmmm.
It would be weird if the weapon settings behaved differently than the rest of the options, so this probably isn't the solution:
1. When exiting this screen, does a particular button (e.g. "I", "RUN") function as PROCEED WITH CHANGES --> MAIN MENU, whilst another button ("II") function as CANCEL --> MAIN MENU ?
2. Has the PCE developed intelligence and purposefully mapped out the controls for you, making your life easier?