Ok, so your configuration is not saved at all. There was a similar message recently, IIRc on the mailinglist
Check from menu "view" > "ide internals" > "about ide"
You should find a primary-config-path
Does it contain any none latin chars? accented? While they should work, suspicion was they may be the cause.
if so, edit the properties of the shortcut (link) to your lazarus,and add the following parameter to call lazarus:
lazarus.exe --primary-config-path=c:\foo
where "foo" is an existing directory, to which you have read/write permission, and that contains only latin (a-z) chars.
The message will appear once more, but then config files should be created, and the msg should go.
If that helps, question remains why they do not happen on default location