Strange, it should save that. You can bypass it by starting up the game with the video mode you want:
./ufo(or ufo.exe) +set vid_mode {number}
1024x768 is mode 6. Higher numbers are higher resolutions. 7 is 1152x864. You can also define a custom resolution by setting the video mode to -1 and using vid_height and vid_width:
./ufo +set vid_mode -1 +set vid_height 30 +set vid_width 40
This will allow you to play in 30x40 resolution. Well, in theory.