I have my settings set up so that I do not automatically accept PMs, and it remembers my settings each time I enter chat. I don't have to go back in and change that setting each time I enter chat.

When I first set that up, I had to set it, then exit all rooms, enter one room, set it again, exit all rooms, enter one room, set it again, close chat completely, re-enter chat, set it again and then it worked. Sometimes it takes a while to "stick". But after that, unless I clear my browser cache or clear the site cookies, it remembers my settings.