The game seems to remember the options you used last time you started with 'Set up game'. However it does not seem to remember if you start with 'advanced options'.
So say you want as default a continents game with no ancient ruins, this is not possible. The closest you can get is starting a continents game without going to the advanced screeen, then at least continents is defaulted every time even if you go to the advanced screen.
Seems to me that the game remembering more of your last choices even with advanced settings would be fairly trivial to code, just another lack of polish, sigh.