[SNYPE00]

Yea mine doe that when I run on my cable at home. The settings are saved in your unnamedsoldier.cfg and when you run the first instance of the game (starting the server) it runs the unnamedsoldier.cfg (which is using default settings cause its the server) and writes those settings to the file. When you run the second instance of the game for some reason it cant overwrite teh file and uses the default settings. Try manually changing the settings in the unnamedsoldier.cfg after the server is running and before you start the game.
You could also write a custom.cfg that has all the settings that are changed so it would automatically set all teh settings for you when you start the game.