This sounds like we're having trouble writing to your preferences file on your computer's hard drive. We make the setting change in RAM while the app is running, but we can't write the preferences back to disk. So the next time OmniFocus starts up, it's reading a copy of your preferences that doesn't include the changes you made.
Off the top of my head, I'd try the following:
Quit OmniFocus, if it's running.
In the finder, select Go -> Home from the menu bar.
A new finder menu will appear. Double-click the Library folder.
Single click the Preferences folder, then select File -> Get Info from the menu bar.
A new info window will appear - we want to check the "Sharing and Permissions" section of the window. Specifically, do you see the text "You can read and write" in that section?
If so, go ahead and close the info window, then open up the Preferences folder.
We're now looking for a file with "com.omnigroup.OmniFocus" in the name. That's your OmniFocus preferences file; select it and bring up the get info window for that file.
if you start OmniFocus, change the preference you mentioned, and then quit OmniFocus, does the "Modified" date in the "General" section of the window update?
If not, that would confirm my theory, but we still need to figure out why. The support ninjas
are going to be best equipped to do so; you'll want to contact them.