I installed ublock 0.9.9.0-rc.0 over ublock 0.9.8.2 (installed via AMO) on Firefox 38.0.5.
Both privacy settings (i.e. disable prefetching and hyperlink auditing) were unchecked.
So, I checked both settings and closed dashboard.
Opened dashboard again after few minutes. Both privacy setting were unchecked. So, I checked them again and closed the dashboard. Opened dashboard again, both privacy settings were still unchecked.
Tried above with other settings like 'i am advanced user', 'color-blind friendly'
etc and these settings were persisting as they should.
I restarted Firefox and problem vanished. Now privacy settings are persisting like other settings.