It finally works properly for me. It was a problem due to my ibm power manager profile. I changed to a default profile and it works okay for powerplay, my settings are saved.
ciao

Well.. hum... I thought it was working but, in fact, I have still the same problem as before. Any other ideas what we should do ? I thought it was maybe an IBM component that changed the settings after every boot, but I searched through all IBM components and I found nothing about it... :? Thanks fo...

Yes, that's it. It works now. I just installed Catalyst 3. Thanks Boricua65 !!

UP
I have the same problem with powerplay, it just won't save my settings. Did you find a solution ?