Absolutely agreed. All settings should save between sessions. Some already do, such as /allowgoto and weaponsets. Others don't yet, such as those mentioned above. As Penguin and Akira have said, switching settings upon every connection becomes annoying if there are a lot of settings which take several minutes to switch.
I'd even go further to say that /l and /lw should be saved between sessions too. It would be helpful for goldpot hunters, because the /l locations that are good for hunting goldpots faster rarely ever change. And stunters, because they might try the same stunts across sessions.