Straight from the built-in Help and FAQ/Troubleshooting in 7th Heaven:
Q: Why does my volume keep resetting after I change it in the game?
A: That's because 7th Heaven 'pushes' your settings that you configure in the Game Launcher Settings to the game every time you click the 'Play' button. So, if you want to change your volume to be set at a specific volume on game launch, be sure to set it here.
Q: Why do my keyboard or controller settings reset every time after I change them in the game?
A: That's because 7th Heaven 'pushes' your settings that you configure in the Game Launcher Settings to the game every time you click the 'Play' button. So, you should configure your control settings here. For more information on using the presets and/or using your own custom controls, look at Controls.
>>Controls Link:
Controls: The controls you have selected here will automatically be applied every time you start the game. This fixes a problem for some people where FF7 would frequently lose your configuration and make you have to setup your controls over and over. You can select a preset keyboard and gamepad button configuration from the drop down. If you want to add your own controls that you currently have set in the game, simply click [Floppy Disk], give the controls a name, then click 'OK' to save them as a new preset. If you want to delete a custom preset that you have selected, click [Trash Icon]. You cannot delete the included presets.
I'll also mention that the controls section will be expanded and heavily improved in a future update.