I think this is the expected behavior so that you can edit whatever you want while developing without affecting the published theme.
In order to make the changes persit, you should go to the theme editor in Admin → Themes → Customize.
Try adding .shopifyignore file in your root theme directory. In that file, add the settings_data.json
config/settings_data.json
Any changes on your development theme will retain because your local copy of settings_data will not be pushed to the development theme. Beware that logging out using shopify logout will delete the theme, just push the theme if you want to retain it when logging out.