Pretty sure this setting is stored in the registry, so you may need to look there for permissions. Try renaming the registry key HKEY_CURRENT_USER\Software\Cakewalk Music Software\SONAR Producer\X3 to X3.bak.
If it fails, it's a permissions error and registry permissions errors are a pain in the backside. If it works, try running SONAR again (you'll have lost some personalisation, but you can go back by renaming the key again) and see if you can get that setting to stick now.