Yes, it should and I'm not sure why it's not on your system. I haven't been able to reproduce this, and no one else has reported this bug. If anyone else is having this problem, please reply to this thread. It may be something with your system and your registry, which is where the setting is saved. It's a minor issue and there are no more build of 1.6 planned at this time.
Neal, I have 're-configured' the analyzer and the settings are saved when I re-open the analyzer. I am using the latest build with Windows ME. It appears that the problem is not with the software.
I know this thread is old, but wanted to let you know I am now experiencing this same problem. I have saved the analyzer display config and when I refresh, change dates or just open the analyzer it defaults to displaying all fields. I have not had any problems the last couple of days, it just started this evening. The only thing that I can think of that changed is my computer locked up and I had to do a hard reboot!! And that was with LBP open.
On a side note, I thought I was going to be in for a fun game of "reenter the data you changed today" , but such was not the case... thank you lbp and your autosave.