Well, Trevor over at Newfangled helped me build a new profile and the settings retain now. Apparently the profiles that come with the PMDX-411 driver are backdated and missing some things, so beware of those following instructions from PMDX starting with their PMDX profile as a basis. I would start with the Mach4-Mill profile in the version of Mach4 you have just installed.
Also, Trevor confirmed the "Apply" button being grey in the Tools tab is a bug, and they are going to work on it. It still saves settings to hit "OK" instead of Apply thouh.