I fear this may be a hardware problem. Hopefully not. A few questions:
1) Are you using the supplied power supply ? If not, try it.
2) Does anything else fail to save ? For example, when you power it up, does it come back with the same preset as when you shut it down ?
3) To power it down, do you unplug the power lead from the H9, or do you unplug the wart ? If the first, try the second.