In experiments I see similar behavior. For example if I set the Permissions on the Hive HKEY_LOCAL_MACHINE and set the sub keys to inherit them. This is allowed and processed by XP. On reboot all the keys below HKEY_LOCAL_MACHINE have the set permissions, including the HKEY_LOCAL_MACHINE\SOFTWARE key, but the root of the Hive at HKEY_LOCAL_MACHINE has reverted to the original permissions and I lost my changes there, just for that key, not the rest.
While I can't lay my hands on anything to confirm this as "By Design", this is what I suspect you are up against. Of course I could be completely wrong in this assumption.
Perhaps, at least, it will make you feel a bit better knowing that I experienced almost the same problem you are describing.