It’s supposed to. Just in case: you have to use the OK&SAVE button in the shader menu. Just hitting OK won’t save the definitions.
If you are sure you did that:
There was one report earlier that apparently shader definitions sometimes aren’t stored correctly. If that happened to you (sounds a bit like it), please let me know which game and profile is affected and I’ll check whether I can replicate the issue. That would help me tremendously.