If you save a preset, as described by @jofemodo (bold select in the preset menu) then the MPE state is saved to and recalled from your custom preset but the MPE state is not changed if you recall any of the factory presets, i.e. if you recall a factory preset, MPE state remains unchanged but if you recall a (zynthian) user saved preset then MPE is set to the state when the preset was saved.
I would recommend creating a new bank for your presets then saving any existing ones you want to use, with MPE set to the required state, storing them in your performance bank.