Then let me ask, are *ANY* changes to settings being saved?
If so, then it maybe that when starting up Screenshot Captor is concluding that it is not able to save files where you are telling it to. Have you tried to save a screenshot in that target directory after you change it?
Are you using the portable or installer version?
Is there anything unusual about the directory you are changing to?
Can you try changing to a directory that the program for sure should be able to save into -- perhaps a new subdirectory in your Documents area?