Progression/Interlaced settings are not saved. If the system detects you can run at 480p, it will ask every time you boot the game up. Though, if you have 480p, not sure why you'd want to run at 480i, but to each their own.
Which version of gx are you running (v3.0 r____?) and which version of Dios Mios did you install? And did you install Dios Mios or Dios Mios Lite?
And finally, how did you install the game to the SD card for GX to use? DMToolbox?