I have just tested here to make sure and set the spindle relay outputs to 5 and 6, shut Mach down and restarted and they were still set.
What version are you using? I have a similar problem with R3.043.022. It is not saving configuration properly between sessions and not restoring it properly.
No matter what I do, I cannot get it to respect the spindle relay tickbox between sessions. I have the XML open in Opera (search for <NoSpindle> tag) and refresh it each time I do something in Mach. Untick the box: no change to XML. Click Apply: no change. Click OK: no change. Click Config, Save Settings: no change. Exit Mach: XML changes. Reopen Mach (no matter what value is in the tag): tickbox is ticked.
It appears to be the same situation with coolant tickbox and spindle pulley number and speeds.