I couldn't say exactly what the problem is, but I am very sure that you don't have to turn the device off. I suspect that's the cause to this error you're having. As for the software, try running it in with Administrator privileges (right click and then select Run as Administrator) because if it's installed on the system partition, it would need Administrator access in order to save the settings.
You can repeat the process when you want to start the software as well.
Also, consult the manual of the device to see the exact instructions for ZKIFACE800 to avoid losing settings.