right clicking on a control brings up the context menu. There I can choose "remote control".
 
Are these settings saved in any form?
 
When I set up a remote control (say, main out vol fader), save the project and reload it, my adjustments are gone...
 
Also, is there a possibility to see a list of controls, that are remote controlled this way?
 

Remote control mappings are per-project. If you set up that mapping in a template, it should be there for any project you create from that template. I use a keyswitch to remote control the mute button on my metronome bus, and it seems always to be preserved with any project that has it.

What are you using to remote control the Main Out Volume?

I don't know of a way to see everything that is remote-controlled.

Saving as a template doesn't work either.