In fact, exactly what you describe happens when you install into "Program Files", as Vista uses file/folder virtualization for that directory tree. Programs with normal user rights are not allowed to write anywhere into "Program Files", instead their write requests for files in the "Program Files" tree are redirected to another "virtual" folder, where a copy of the original file is kept (and of course all read accesses to this file are also redirected to that copy). This way the program never alters the original file. To see the file copies that your program is actually writing to, click on the "Compatibility Files" button in the toolbar.
Now if you start your program with admin rights, it will be allowed to write into "Program Files", and read accesses will not be redirected anymore to the virtual folder. That's why you seem to lose your settings, as the program now reads the original file, not the copy that has been altered.
A bit more info here:
http://www.hanselman.com/blog/VistasShowCompatibilityFilesAndTheScrumptiousWonderThatIsFileVirtualization.aspx