Yes, of course, it's normal that when you allow the file to run, it will save that info in the FSX.CFG. I asked to reset it, not because it's not supposed to be there, but because there's a known bug in FSX that, sometimes, the trust system acts strange so, by removing the files and triggering a new trust question, it's reset.
Are you running FSX "Ad Administrator ?", if yes, turn it off.
Also, are you running FSX in the "XP Compatibility mode" ? If yes, turn if off.
To do this, go into the FSX folder, select the FSX.EXE, right click on it, select "Properties", then select the "Compatibility" tab and be sure NOTHING is checked there, which is how FSX defaults to.