(This post crossed Jubber's. That sounds like a likely explanation.)

All right then. Let's make sure HotkeyNet is really running as administrator.

Can you please reboot your computer.

Then go to the folder where you installed HotkeyNet and right click hotkeynet.exe.

Select "run as administrator."

(In other words, start HotkeyNet WITHOUT the shortcut.)

Launch your WoWs. Change some settings. Exit the WoWs.

Then restart the WoWs and see if the settings got saved.