Sometimes when you die a lot on Going Rogue/Permadeath, the game automatically turns off PD the next time you go to start a new game, despite it remembering the past two or three times. It also changes GR to DM sometimes. I've always thought that this was a feature rather than a bug, but I figured it would be good to ask. (Steam version, 1.0.10)
I can confirm going from GR to DM - I just did GR for the first time and assumed it was standard behavior to reset the settings, but I guess not. I only died once, so it may be unrelated to death amount and just be random or governed by something else.
Both GR -> DM and PD being toggled off have happened to me. I always assumed it was a feature, too - the game saying "you know, maybe you should start with something a little easier this time hotshot". (At least it isn't setting it to EE - that would be a little insulting)