I too was puzzled by this. The solution is that you have to OVERWRITE the default presets.
Click on Set1 - make all the changes you want and then click on EXPORT, then select Base_Preset_1.vtm and click SAVE - click YES when you are asked to overwrite.
Next time you open VTM - the settings you made for Set1 will be there because they are loaded from the preset file.
If of course you like the default Set1 preset - then simply click on another set and save it to it's respective preset file.