I confirm this as a bug. I fixed it here so it will be fixed in the next release, but you can easily fix it on your copy.
Using a text editor, open the file Web/Admin/ModuleSettings.aspx and look for this:
<asp:CheckBoxList id="authEditRoles" runat="server" EnableViewState="false"></asp:CheckBoxList>
change it by removing the EnableViewState="false" so it should look like this:
<asp:CheckBoxList id="authEditRoles" runat="server" ></asp:CheckBoxList>
After doing that it will keep the role settings and should work as expected.