What: When launching the game, it always reverts to fullscreen. I have to reset it to fullscreen windowed every time I close and relaunch the game, as it does not save the setting across sessions.
How: Closing the game and reopening it will revert it to fullscreen mode with 100% consistency.
I does save on my PC. At least on Borderless. Only If I set it on windowed, and I alt/tab out then when I get back to the game it is set to fullscreen.