Have you tried running the game as Administrator (right-click => Run as ...). Maybe it's a write access issue that prevents the settings to be saved.

AdamR: Oh, ok. I haven't tried to save, I just ran the game to check if it worked well on Linux through Wine.
EDIT: just tried to save/load and it works. Thanks ! :)

DeMignon : well, I don't play on Windows, but I doubt your suggestion would work if I was: I've tried to add the mouse sensitivity to the user.ini file and after I've ran the game, the option was gone. I'm not sure the option belongs in that file but it can write it obviously.
EDIT: just checked and it is indeed added to the user.ini file after I've set it and saved the game. I guess that if I try to start a new game it will be removed.

This also applies to other settings for example the difficulty. In the menu, the game seems to reset my settings, so I changed them every time I started the game. Following AgentBirdnest's advice made me discover, that my settings are "restored" when loading a game. So difficulty and colours may be stored in the savefile.
This is irritating indeed.