Hi, I just fixed a very similar problem on my Terminal Server and now everything is working.
Windows 2003 SP2 applied.
Problem: Users device and printer preferences would not save after logging out of the TS session.
Resolution:
Add Domain Users to TS Print Operators group on the TS.
When user is logged in select there mapped printer in their session. Change preferences, device settings and apply. Wait about 60 seconds and then the settings should save to the local machine Terminal Server Client Cache.
I also made the user admin of the local machine, but that might not be necessary.
I have a Ricoh 2238 which requires a ID code to print colour. By default when the printer was mapped through the TS session, it defaulted to colour and would be missing the code. Also have a HP4200 that would be missing tray 3 when mapping through. In that case I selected the users mapped printer when I was logged into TS as Domain Admin and went into device settings. Enable the optional tray and set the tray paper type. Once set, the user could log off and on and would retain the printer settings in the TS session.
Hope that helps you out. I've been going crazy trying to get this to work.
Here's the MS article that fixes the first part of this issue.
http://support.microsoft.com/kb/243942/en-us