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.
2008 Interlagos Blue E93 M3 - M-DCT
2011 Salsa Red Jetta TDI Sportwagen - DSG