One of the significant reasons Fortnite is not keeping your settings is the GameUserSettings.ini file. If this file is saved under Read-only mode, you will face the problem in the question. The issue can also occur due to the following reasons.
If the Controller folder access is enabled, it's no surprise you are facing the problem.
The issue can also occur due to corrupted game files.
A third-party antivirus program can also be the primary reason behind the problem in the question.