Project saving, including layer saving, is in a state of transition right now. The concept of a project is being replaced by the Session, and options like saving layers will be more of a save-time decision in the UI rather than a parameter you set and leave that way all the time. I thought the old behavior still worked, but it was taken out of the UI as part of this transition.
You can try putting it back, though it's a bit hacky and you need to be comfortable editing XML files. In the Mobius user directory (bring up the Help->About window to see where that is), find the file named static.xml. Look for this:
<Form name='sessionGlobalMiscellany' title='Obscure Things for Advanced Users'
symbols='noiseFloor,spreadRange,fadeFrames,maxSyncDrift,eventScript'/>
The value of the symbols attribute is a comma separated list of names, add saveLayers like this:
<Form name='sessionGlobalMiscellany' title='Obscure Things for Advanced Users'
symbols='noiseFloor,spreadRange,fadeFrames,maxSyncDrift,eventScript,saveLayers'/>
You might want to save the starting version of this file somewhere so you can get back to it if something goes wrong.
Sorry about the color highlighting in those block comments, I still haven't figured out how to make the forum software stop doing that.
Once you do that, the parameter Save Layers should appear in the Edit Session window, under the Globals tab and the Miscellany category.