This is correct - it's purely a play session thing - not related to the save game in any way, so you can load the same game with them on or off. As Sgt says, it requires a restart of Civ to toggle them from off to on or visa versa though.
I'd like to request (assuming it is simple) a way to designate a tile to automatically center the viewport on on load. That would make things slightly easier for me as a player.