The Pencil+ settings are not saved in the rendering options presets.

Pencil+ cannot handle this functionality due to the 3ds Max specifications, so this is the normal behavior.
There are similar problems when reading effects with the [Effects]'s [Merge] button and when saving the scene state. Similar problems also occur for standard 3ds Max functionality due to the fact that Max is not able to handle objects and materials in [Effects].

Pencil+ Line uses the [Pencil+ Line Merge Helper] to merge effects in order to work around this limitation in Max.