Check by opening a terminal and issuing in it:
/interface/detect-internet/print
if you see it as “none” after you changed it in Winbox (before rebooting) BUT it changes back to “all” after a reboot, there must be a script (or something else) that re-initializes it.
That whole stuff seems to be buggy:
http://forum.mikrotik.com/t/detect-internet-strange-behavior-ros-7-0-7-6/162129/1
(cannot say if that has been fixed)