If you have a portable installation (config inside install directory) and Yuzu is installed in a directory that requires elevated permissions to write to (C:\Program Files), then you would need to run Yuzu as administrator in order for changes to stay OR you would need to move the Yuzu folder elsewhere.
Otherwise, if your install is non-portable (config somewhere in C:\Users\username\AppData) the file you are trying to modify may be set to read-only (check properties from right-click menu)
I'm not at my PC to check/verify any of this, I just happend to see this while browsing. Hope this helps.