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https://steamcommunity.com/app/12210/discussions/0/4336483474866680543/?tscn=1717848759
The game saves fine
%LocalAppData%\Rockstar Games\GTA IV\Settings\SETTINGS.CFG
in which %LocalAppData% is normally
C:\Users\<your Windows username>\AppData\Local
(mind you that that's a hidden folder if you'd navigate there manually). If you have moved your user folder elsewhere but the game hardcodes something that may be the issue.
If not, check if anything's up with that %LocalAppData% folder, including then making doubly sure from/via the above posted reply that you don't have e.g. Windows Defender or similar garbage "protecting" you to death.
A (small) note is that a change in resolution here also triggered a change in
C:\Users\<your Windows username>\Documents\Rockstar Games\GTA IV\Profiles\<some hex id>\<some other hex id>.dat
but that's probably not to do with resolution as such but e.g. recording of last-login. Still also check if something's up there if need be.
Can tell you that your issue is not normal/known, so concenrrate on possible causes unique to you.
I didn't touch my User folder, also this issue is indeed very well known.