It switches itself to low priority when it is not in focus. This is to prevent it from eating all your cpu time when it is in the background. Rest assured that when it is in focus and your are playing the game, and the priority is set to high.

Every time you minimize the game window or basically any time the game is not in focus, it will be set to low. That's why even when you change it, it will revert itself. That's also why you don't see a performance increase when you manually set the priority to high.

Hope this helps.