Just tested it again. Mapped a previously unmapped function, pushed "Save as", saved controls-file (overwrote the old version), pushed "apply". Jumped into cockpit, pressed ESC for menu, checked options, and sure enough, the new mapping was still there.
Maybe it's a path-thing for you guys? I've seen CoD having trouble with controls-files when my "Documents"-folder was still set to a non-default path.
S.