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@AndyL: thanks for replying on this :-)
On Windows, the configuration is kept in %HOME%\KLayout\klayoutrc. If the "KLayout" folder is not writable, the disk is full or the file is not writeable, the changes are lost.
If just the key bindings get lost and other configuration options (like background color) persist, then maybe it's worth looking at this in more detail. Maybe only certain key bindings are lost?