This is a known bug. When you set the privacy bits you want, the screen that shows after you've set them is correct. This is what is actually saved to the database.

The screen you load again seems to reset all those options, but it does NOT make any changes to your profile. So there's no easy way to review your existing privacy settings, unfortunately.

We'll try and get it fixed. But in the meantime, if you set your privacy options on that screen, be assured they are saved to your profile as set.