I should have thought about the scripts. That was the problem. I like having a long pause in between songs (read somewhere that it was good for working) so I installed the "Single/Continuous play and Delay Before/After play" script. This either resets the settings or prevents them from being saved (I'm guessing resets them).

Oh well.. I'll live with having to remember to turn on shuffle. I don't mind having to push the button each time if I get the pause in between.

Thanks everyone for your help.

Then it should remember it (generally, sometimes Addons cause settings save fail). Which version of MediaMonkey are you using?

What version of MM?
Have you rebooted system since the problem began?
Try,
File > Optimize database (comple) > restart

Task viewer shows the process is terminating. There are no messages in the event viewer indicating a crash.

Look at task.mgr to see if mmw ever closes

Any suggestions on how I can troubleshoot? I stopped playback, select File > Exit from the menu. Waited. Relaunched. Still the settings were not saved.

That means MediaMonkey isn't closing properly as settings are saved on close.

I recently noticed that I have to turn shuffle on every time I launch MediaMonkey. Has it always been this way? I swear it used to save the state of the shuffle button for the next time I run the program.