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Does anyone else have the problem that any cheats earned (as in unlocked from achieving something, not the ones entered in main menu manually) disappear each time you close the game and restart it?

I can understand manually entered cheats not saving, but earned cheats being gone each time you close the game? That doesn't make any sense at all if you beat the game and only have the earned cheats if you immediately go to a new game without closing the program?

So I just want to see if this problem is unique to me specifically (something went wrong on my end) or if this is the case for others (which has to be a bug, because this makes no sense at all?).
I only unlocked maybe three cheats (infinite lives, tiny enemy, show credits) and none of them save once I close the game. No idea why and I'm not sure how many of the other cheats in the menu can be "unlocked" like this or have to be entered each time..
The same thing happens to me. I've only unlocked the infinite lives cheat, but it resets every time I exit the game.