If it doesn't work, you need to give more information so someone can help you:
What is your version of Recalbox (say version, don't say "latest")?
Did you build your Recalbox yourself, or did you download a ready-made image from the internet, or did you buy everything ready-made?
Did this setting never work, or did it stop working after a specific time?
How are you turning off your Recalbox? (It is necessary to turn off securely via the menu for the settings to be saved)
Are you sure you flashed Recalbox correctly? Are other settings saved?
As you are on a PC, if possible, test flashing the system on a pendrive and check if it works, the problem may be a defective hard drive, or a corrupted file.
First, read this: https://github.com/recalbox/recalbox-os/wiki/Shaders-configuration-(EN)
I think you can manually edit it directly in the configuration file, following the explanation above.
NOTE: You are using an obsolete version of Recalbox, and the Forum does not support it, the correct thing is that you update to the latest version. For this, you need to do a clean installation. As has already been announced on the forum, soon (there is still no correct date) there will be an update, and unfortunately it will require a clean install again, so you may not want to update now, but understand that obsolete versions are not supported.