Hi Felix,
I can't replicate that behaviour here. (Windows XP and Excel 2000.)
My Excel settings stay linked to the Windows settings and Excel
has no option (or need) to use anything else. My page margins
and image size values etc. adjust with those Windows settings
with no need for a restart when changing them.
Maybe 2003 is different, however, I haven't heard of anything
like that.
All I can suggest is to go through every Tab in Tools>Options
very closely.
Sorry I can't help you further,
Martin