I believe it has to do with the way Hyperlaunch is closing MAME... MAME saves its settings when it closes normally, so when Hyperspin force closes it any changes to the settings are lost.
You've got a couple options... first would be to load MAME outside of Hyperspin, change the settings you want, then close MAME.
Second would be to change the HyperHQ settings so that MAME is launched normally without using Hyperlaunch... that will make it so when you push ESC, MAME will be quitting on its own as opposed to Hyperlaunch force closing it and losing the settings.
There are also most likely some changes that you can make within Hyperlaunch (mainly changing it so MAME closes by itself) but I'm not super familiar with changing options within Hyperlaunch.