Yep, this is a bug that was introduced with the same PROGMAN update that fixed the shift lag. Before that update, my shift light setting was remembered permanently.
I don't really care for the shift lights, so it hasn't really been a high priority for me. Next time the car is in for service I will probably mention it.
A gen-u-ine BMW eff-eight-zero with them tandem clutches in the transmission and that dad gum sun roof on the top-a da cawr.