The UTILITY settings are not "saved by exiting with Exit" - the UTILITY setting are written to Montage's Flash ROM by making the setting and pressing [STORE]. Your stored settings are then written (saved) to any USER FILE (.X7U) that you make.

Store = writing data to internal memory
Save = writing data to a file

I am confused by this too. BM are you saying that we would need to save these settings to a USB and after every time we boot up we would have to load the settings? Surely that's not the case. Here is what the manual says, but what the manual says doesn't seem to be the case:

MIDI setting data and System setting data are automatically
stored when those corresponding setting displays are
switched to another display. Data is lost when you turn off the
power to the instrument without switching displays. This also
occurs when the power is turned off by the Auto Power Off
function.

Page 45 in Owner's Manual describes how to make Global Systems Settings which is what the Knob Brightness is. For each parameter the manual states (copied directly):

"Press the [EXIT] button.
This stores the setting and returns to the previous display"

This works for the Knob Flash and Half Glow systems settings, but not for the systems setting Knob Brightness between these two in the display.

As far as I can see there must be a minor flaw here to be corrected.

Pressing the STORE button goes into for example performance storing, however what we are trying to do is to store a general systems setting not (necessarily) linked to a particular performance.

PS: Yes, I meant Store, not Save.