@Nicola-Silveri I don't know what it could be, if I were you, I would try to rule out the possibilities:
I see that there is a yellow ray being displayed, this indicates that you have a problem with the power source, it needs to be 5V3A (https://www.raspberrypi.org/documentation/configuration/warning-icons.md)
Do you have enough space on your SD card?
Is your SD card not corrupted? (test with another SD card)
I didn’t understand exactly what options you’re changing, I have the impression that you’re creating a new configuration file, and you’re saving to it, but when you exit the game, the emulator is accessing the default configuration file (not the new file), you need to indicate that it is this new file that you want to be used (https://recalbox.gitbook.io/tutorials/configuring-custom-buttons/create-a-custom-configuration-by-emulator), OR, do not save a new configuration file: enter the game, just activate the save option when exiting, exit, open the game again, modify what you want, exit without saving, check.
I didn't quite manage to fix the issue, but at least to overcome it. Let me explain: originally, I downloaded the Recalbox OS v4.1.0 from https://github.com/recalbox/recalbox-os/releases/tag/4.1.0 This version has the issue with not being able to save the settings. This version is installed by simply copying a bunch of files to the SD card and letting the RPi boot.
But then, I discovered the version 17.12.02 of Recalbox, that I downloaded from https://archive.recalbox.com This is an image (img.xz) file, that I installed using the Etcher software (as mentioned on the download page) on the SD card. This version of Recalbox seems to do the trick and I was able to enter several settings that were still set after rebooting the RPi.
I hope, this helps everyone with the same problem.