I believe this is not a bug, but a feature.
I have a faint recollection of it being mentioned in an official post, too, but that could easily be false. I do think they simply haven't (yet) extended the save feature to Equipment Sets.
In any case, I do hope it is being worked upon! ^^
Edit:
Darn, it just got moved as I was replying! Well, on the off-chance you'll read this edit...
Yeah, it's definitely a valid enhancement request, and it will probably be a good idea to post about it on the other forums here, where the community representatives forward things from. That said, I'm fairly certain this is already in the works, or so I maybe hope at least!
As for being forced, since you used that word, I will say that Linux is an option, too! Heh, I do realise it is certainly not an option for many, but well, for some it is!
I do not remember there being more than one slot to save settings to server-side, but there are a few more to save locally. Perhaps that's what you were thinking of? (You can select them by pressing 'down' while selecting the slot, though I'm thinking this is not what you were thinking of.)
As for doing a clean install, it is possible to copy over the data files after the installation process has completed. This will not only have the old settings move over, but likely cut off a bunch of update time! ^^


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