This has happened to me, yet I've no idea why. Here's what I'd do:
1.) Load your first lot of options (so that might be the Game Configurations page)
2.) Hit APPLY, then OK.
3.) Shut down Hammer
4.) Reopen it and input the rest of your settings/
5.) Hit APPLY, then OK.
6.) Shut down Hammer and reopen.
Hopefully this should retain the settings.