yes, you must click the Save button IN THE REAL SDM for changes to be saved to startup-config. If you don't do this then they only stay in running-config.
The SDM express is intended only for original setup. Use SDM for everything else.
I've attached screenshots of the real SDM.
If I were you, I would just use SDM and forget about SDM Express. Yes it provides way to make quick simple changes from the web, but it is crippled in many ways compared to the real thing.