Yep, this happens to me too, in fact I think it happens regardless of whether I sync or not, I gave up re-ticking the box in the end and have just accepted it doesn't work and must be a bug.
In fact I'm finding the phone seems to have a problem remembering my preferences in certain other areas too. I like my bookmarks sorted in most used order, which is selectable, but the phone seems to always want me to view them in most recent order and just changes the setting back every time I use the browser.