Did this work on beta 1? If I remember the code correctly, saving per-game preferences currently suffers from the same problem as savekey data: it only happens at certain points (maybe even only on shutdown), and chances are that you switch off the device before the data is saved (if it happens on shutdown, you'll never execute this code path unless you kill Stella via SSH). This will change in the next beta when we move per-game preferences to SQLite, too.
I don't know. I tried to check it for you, but I can't access the 'Controller Options' tab in beta 1. Shift-arrow keys no longer works in beta 1 so long as I can tell, and Thomas' controller mappings weren't available yet. It doesn't seem to be a keyboard issue as shift-tab still works to cycle backwards between options or buttons. I never came across this issue during testing, as I was just using the 'Input' section to temporarily change bindings.
How do you access another dialog tab in beta 1?