@tautech
It would seem in this case, that patience truly is a virtue!
Diving into the system menu to change that setting to "Last" was never a priority for me when I first took delivery because, in the interest of clocking the first thousand hours of reference burn in time, it was rarely switched off overnight for at least the first six weeks.
It was only when I saw your post on how to change from the default factory setting on power up that reminded me to set it to "Last" and eliminate the minor annoyance of having to disable the auto-zero on every power up (it's had well over 2,000 hours of 'burn in' time and its 13W consumption has become a luxury I'd prefer to spend on my RFS).
It seems, like you and Richard, I too had been a little too swift off the mark when checking it out. In my case, fortuitously, the only thing it seemed to be remembering about my last settings was the disabled auto-zero. The main improvement I wanted but I was a little bemused to see the 20vdc and the 10G ohm settings revert back to auto and 10M respectively. Not a problem in this case since I didn't happen to require the Hi-Z option and therefore no need to set the range to 20vdc in order to enable it.
Having seen your post about allowing extra time before powering it down in order for the last user settings change to be properly stored for next time, I changed it to 20vdc, auto-zero off and 10G and waited over a minute before switching it off (a power down request really since you have to lean on the on/off button for just over a second to convince it that you really really meant to switch it off). This time, it came back on with those extra setting just as I'd left them - mystery solved!
I guess this behaviour only becomes apparent when testing to see whether it actually works as advertised and you power cycle it too soon for the last user settings saving operation to run to completion. In normal circumstances, you may well have changed the settings hours beforehand before casually powering it down so this issue remains nicely hidden out of sight.
Normally, one wouldn't bother anticipating what change of settings will be needed for the next session so will just let it remember the current settings and switch off since it's very likely that your next session will be using the same settings anyway and if not, it's just a case of changing them after powering it up to suit whatever new test regime you're going to be running next. I can't see why anyone would want to do otherwise so this is only an issue that arises out of trying to quickly test this feature.
Incidentally, I've just repeated the settings change test and it seems to be a case of allowing at least ten seconds for each changed setting so if you only change a single setting (eg auto-zero), ten seconds pause before power cycling it seems to suffice but if you change range, PLC, auto-zero and input Z one after the other, that seems to require a 40 seconds pause for them all to be updated.
In normal use, this won't be a problem since such wholesale changes will likely enjoy minutes to hours of 'Pause Time' before being powered off anyway. Still, it's worth knowing about this 'peculiarity' when it comes to enabling the 'use last settings' feature. I just checked the manual and it makes no mention of this "Gotcha!" in the power on settings section. A note to explain why not all changes of user settings might be successfully saved on power down would neatly address this limitation. After your chat with customer support, I suspect such a note may well appear in the next user manual revision.