You should set the dropdown to "As set in Advanced mode" then click "Advanced" and set Sort expression in the view definition. After this you can save and it is all persisted.
Otherwise on save the designer sees "By Title .." and updates the view definition, overriding your sort expression. The other way around - if you set "As set in Advanced mode" and Save then the current sort expression is saved, but that is "Title ASC" which is used to populate the dropdown when the designer is opened again and nothing is changed.
The confusion comes from the fact that the dropdown is bound to the same "Sort expression" field as the one seen in advanced and "As set in Advanced mode" does not set anything.
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