Unfortunately, when I exited and restarted PM, my keywords were gone -- all 100+ of them. Fortunately I made a snapshot of the list so I will be able to re-enter them manually. But clearly the Save Master button on the Keywords Panel is not saving my keywords. I suspected this when I checked the timestamp on the preferences file after "saving" and saw that it had not changed.
I think it is a permissions problem. The C:\Users\John (that's my user directory) is (by default) owned by SYSTEM. I changed the owner to me, and tested by saving the Master Keywords list with some dummy keywords, exiting and restarting PM and reloading. It now works, and the prefs file timestamp is updated. I hope this is the solution, because I'm about to re-enter all my 100+ keywords -- ugh.
I do have a nit to pick with PM. The Save Master and Load Master buttons on the Keywords Panel don't give any feedback. Non-freeware Windows programs typically give you a save dialog, a progress indicator, or even just a message like "your Master Keyword list has been saved" (and if your keyword list could NOT be saved, it ought to tell you that too :-) If you have added, deleted, or changed your master list, you should also get a warning before exiting the program. These are all standard niceties that we have come to expect from Windows programs.