When you get back to the classic interface there's a yellow message at the top asking if you want to make the change permanent.

Web apps and me are constantly at odds because I run all sorts of privacy extensions, I disabled Local Storage (via folder permissions) and I don't let cookies persist. So, I just stopped using web apps wherever possible in favor of native ones. It pisses me off too because the web (and the Internet) could be so much better than this.

Anyway, for the longest time - even with a bare browser (no extensions) - YouTube wouldn't save certain settings (annotations disabled, video quality), even while I was logged in.

Aren't you more uniquely identifiable on a native app, though?

Most of the native apps that I use don't serve ads and they don't pull in third-party resources from the web.