Every time I install a new aircraft I reliable encounter the same error. If it would help you I can create a video of the issue
I made a video for you, showing saving the preferred exit works, with the PMDG 747, both in the same session with the same airplane, and also after switching to a default airplane and back to the 747
The only possible reason why it doesn't work on your system, is some kind of external interference from another software ( antivirus, possibly ), which is preventing to write in the %APPDATA%\Virtuali\Airplanes, a folder that should always be writable, since it's in your own account.