There are some really cool M4L devices out there but sometimes you get one that always reverts to it's initial state every time you load it. In the current or a new session.
Grouping the device to a rack usually works for saving presets but for some M4L devices this doesn't work either.
Here's a simple way to fix this.
You will need the full Max 7 program. It's floating around the net.

Launch Max 7 and open the .amxd for the M4L device using File > Open...
Right-click an empty space in the canvas and select Edit or press Ctrl+E
Open the Inspector with the 'i' icon.
Select the gui item that you want to retain settings for.
Under 'Parameter' check Parameter Mode Enable
Then check Initial Enable.

Do this for all gui items you want to have keep their settings when saved as a preset.
Save the .amxd and now you can save the device as an actual preset, settings and all.

You can also enable automation/modulation for parameters that the dev didn't include by changing the Parameter Type from Blob to Float or Int(0-255) and then switching the Parameter Visibility to Automated and Stored.