Okay, so this is very odd but this issue has also self-corrected.
I had been going through old photos, cleaning up and uploading to galleries online. The first batch of images I worked on were from 2007, shot with a D200 if that makes any difference. The colour class was definitely clearing as I saved.
As I posted here I kept working through the images and by the time I had double-checked all the preferences as above I was up to 2009 and now images weren't clearing the colour class as I saved. I figured it was to do with the images themselves, perhaps the camera I had used, and kept going.
This morning I have gone back to the older images and tried to edit and re-save some with the colour class set. The class is not cleared on saving.
I honestly did not touch a single setting when I was checking my prefs. The screen grabs above are as they were set. So, why some images were clearing the colour class and others weren't, and why it self-corrected, I do not know! But, it all seems to be fine now.
Interestingly, this is exactly how my other issue cleared up (the one about the E key in Preview mode). It didn't work, and then I asked about it here, and all of a sudden it worked.
All I can think of is that I recently did a complete re-install of PM onto a new hard drive I had fitted in my iMac to replace the bust old one. Perhaps something kooky happened during the install or something?