Okay, it's getting weirder. :/
The box "Only delete files in Windows Temp folders older than 24 hours" was ticked. So I unticked every box again, including this one. And it worked, I didn't lose my settings. Then I ticked the box again, leaving all the other boxes unticked. I didn't lose my settings.
Then I ticked all the boxes. My settings were lost again. Now I can tick or unticked the boxes, my settings are lost every time.
And something weirder now. It happens when I tick or untick the "24 hours" box. I close CCleaner without doing a cleaning. I open my folders with specific settings. I close the folder. I open it again and my settings are lost.
I hope I'm giving enough details ?