I had the same problem since last update of Windows 10 - moving Winbox.exe from C:\Program Files (x86)\Winbox to %USERPROFILE%\AppData\Roaming\Mikrotik\Winbox\ folder actually solved the problem for me. It also worked when I launched Winbox as an administrator (which is not the same as launching it as a user with administrator privileges), but of course, that’s not the right way.
And no - the settings is not saved on mikrotik device itself - it’s saved in .viw files under %USERPROFILE%\AppData\Roaming\Mikrotik\Winbox\sessions folder. Try to connect to the same device to a different address and it starts new blank session.