I too have been having the same problem. I'm on a pc.
It seems it doesn't actually save the set up until you save your profile.
To explain that further, I have only been playing career mode, & I have autosave turned off.
So sometimes I do a practise & qualy & race, but do rubbish, so I dont want it to save my progress, I'll exit out of the game without saving my profile, so that next time I can do that circuit again from scratch.
In doing this, I have saved a set up in 1 of the slots for that circuit, but if I exit out of the game without saving my profile, then that set up is not there next time.
To get round this, I go into Grand Prix, select the track I want (it doesnt matter what team or player I choose) & put in my set up & save it. I then quit back to paddock & save my profile. Next time I load the game my set up has been saved for that circuit.