Imagine this - you set SNES9x to 1080p, we save that setting in the config file, you move your PS3 to a friend's house and he has a TV that only supports 720p - guess what happens?
That's why it's the only 'setting' that wont' save - it was done deliberately.
Just FYI, there is no point in setting it to 720p if your TV/monitor is capable of 1080p - you certainly won't notice any performance improvements - speed is the same at 480p/720p/1080p.
Actually, the resolution setting not saving is done as a safeguard. It just chooses whatever resolution is best according to the capabilities of your TV/monitor.