Some or all of the graphics settings from the main menu seem to not be saving properly (or possibly at all). I'm currently messing around with this so I can write a comment on the 1.03 devlog page (where I prefer to make note of bugs).
In my experience, if I toggle "ALL CRT FX" on/off from the graphics menu while you have a character loaded and then save at a lantern or the doll, this particular setting will be reflected at the main menu as well. Hopefully this helps in the meantime.