SOME, Not All, OSD Settings Won't Save

[BSPeter]

No problem overhere under WinXP SP3 (using v.2.57.1051 Pro), so I cannot help wondering if your problem isn't UAC-related after all.
Anyhow, the option(s) selected to be displayed are reflected in the line (as mentioned by you):
<OSDOpt type="int">39</OSDOpt>
In as far as I can see this decimal value is in fact composed as follows:
[option selected]
[ 1 ] Movie length
[ 2 ] Movie time
[ 3 ] Movie remaining time
[ 4 ] Movie time/Movie length (%)
[ 5 ] Movie time/remaining time
[ 6 ] Movie name
[ 7 ] System time
[ 8 ] System date
[ 9 ] System date/time
When you set these options one by one it respectively gets the value
(decimal = binary) as follows:
[ 1 ] 1 = 1
[ 2 ] 2 = 10
[ 3 ] 4 = 100
[ 4 ] 8 = 1000
[ 5 ] 16 = 10000
[ 6 ] 32 = 100000
[ 7 ] 64 = 1000000
[ 8 ] 128 = 10000000
[ 9 ] 256 = 100000000
If you select more options, their values must be added.
E.g. if you select the options [ 2 ] and [ 3 ] the value becomes
6 = 110
With the value you mention (39 = 100111) BS.Player's OSD should, IMHO, in fact show four lines:
[ 1 ] Movie length
[ 2 ] Movie time
[ 3 ] Movie remaining time
[ 6 ] Movie name

P.S.:
BS.Player's OSD doesn't automatically show by default.
To show the OSD you should depress key [i] (default definition).
Maybe also read this post/thread concerning (e.g.) ffdshow's OSD.