This shows your settings aren't being saved. How do you shutdown? What does event viewer say about anything that happens at the time of shutdown.
Try setting it, then choose Shutdown, then turn the computer back on. I notice that when other programs reboot the computer explorer often doesn't save it's settings.
Also check the following value isn't present or it's set to 0.
NoSaveSettings
HKCU\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer
Data type Range Default value
REG_DWORD 0 | 1 0
Description
Prevents users from saving certain changes to the desktop. Users can change the desktop, but some changes, such as the positions of open windows and the size and position of the taskbar, are not saved when users log off. Shortcuts placed on the desktop are always saved.
This entry stores the setting of the Don't save settings at exit Group Policy. Group Policy adds this entry to the registry with a value of 1 when you enable the policy. If you disable the policy or set it to Not configured, Group Policy deletes the entry from the registry and the system behaves as though the value is 0.
Value Meaning
0 (or not in registry) The policy is disabled or not configured. Changes to the desktop are saved.
1 The policy is enabled. Some changes to the desktop are not saved.
