An update is up which saves all menu settings into your game's config file. When your program calls System:SetProperty() the inputted key-value pair is saved in a list of settings. Your game automatically saves these settings to a file when it closes, located in C:\Users\<USERNAME>\AppData\local\<GAMENAME>\<GAMENAME>.cfg.
The contents of the config file will look something like this:
anisotropicfilter=8 antialias=1 lightquality=1 screenheight=720 screenwidth=1280 session_number=2 terrainquality=1 texturedetail=0 trilinearfilter=1 verticalsync=1 waterquality=1
When your game runs again, these settings will be automatically loaded and applied. You can override config settings with a command line argument. However, command lines arguments will not be saved in the config file.
This has been my plan for a long time, and is the reason why your game is not set to use the editor settings. Setting for running your game in real-time should be separate from editor settings.