I have not had that problem before ace. There are two things to try, and a third 'nuclear' option...
1 - open fpse, set the sound options, restart fpse, see if it sticks.
2 - as above, but after making the change go to misc, and choose 'save settings as default'
3 - reinstall fpse. if you have any save games via memory card or save state, be sure to go to misc, backup. this saves everything to /sdcard/fpsebackup. I recommend you copy the 'savestate' and 'memorycard' folders somewhere else on your sdcard (using a file browser like 'astro'), then from fpse go to menu, misc, memory card, and menu, misc, save state and choose the location you saved them to. you'll need to resetup all your options. be sure to 'save to default'. also, know that many setting require you to quit and restart fpse for them to take effect.