Actually the settings menu is getting reset probably because it's not programmed to load the currently saved user setting, i mean are you saving it in any variable, i mean the music and screenshake setting? If yes, you need to change the values of the input field (On/Off) in the settings scene according to the values of those variables when the settings scene load. I don't know how to do it in GDevelop, but in Godot and Unity, its possible easily, I'm sure you can find tutorial too on it!