Update: This appears to be caused by the game trying to force a reset of the New Game settings. If you cancel the warning about resetting your character's appearance both when cancelling the first New Game at the end and when you return to New Game, it will shadow reset the game mode to story, even though it still appears as Sandbox and it preserves all other choices for PC and first slave even if those choices would not be available under story mode creation options. This also occurs on 0.5.9a